If you use Banshee in 11.04 to purchase mp3's from the Amazon store, you don't need to sync them to Banshee. The downloaded mp3 album will appear in your ~/Music folder and will also appear in the main pane with the artwork, so you can play it straight away. I'm very impressed with the integration of the Amazon store and Banshee - it's much better, imo, than Amazon's own downloader app (for which you need a hack to get the Ubuntu version to work in anything newer than Karmic).
Ubuntu One Music Store almost as good. The search interface in Banshee is hopeless so I go to 7digital.com's site first in Firefox to see what's available and how much (7digital is the backend to U1 music store, at least in the UK). Having found an album that interests me I then see if I can find it in Banshee - which sometimes needs a bit of search-fu.
Purchased albums are sync'd to your Ubuntu One cloud storage first and then to your local machine, so there's more of a delay than with Amazon to get the mp3's onto your machine. The downloaded mp3's are tucked away in a hidden folder - ~/.ubuntuone - but are automatically added to your Banshee playlists as with Amazon stuff.
My experience overall:
Amazon - easier, usually cheaper, and quicker to get your mitts on the mp3s. Disadvantage - if the download goes wrong you have to email Amazon and ask them to unlock your files for re-download.
Ubuntu One Music Store - it can sometimes take many minutes before your local machine begins to sync with the cloud storage. Sometimes the cloud servers go on a go-slow and you have to come back another day. Advantage - if your download goes wrong, your mp3's are still in the cloud and can be dl'ed from the cloud again. As a last resort, you can log into your U1 account with firefox and download the mp3's manually.
iPod - sorry, I have no experience of iPods, and long that may remain so!