Personally, I like to have my music be top quality, and so I like to preview them before opening them up in iTunes, so I don't accidentally add some low quality song to my music library (which I then have to manually weed out).
So here's what you do: put the folder to which you download in your dock (even if you have your desktop as your download folder, you can still do it -- just go to your home folder and drag the Desktop folder to your dock -- it seems a bit funny, but it works). Now open it once, change the view to column view, and close it.
Now all you have to do to preview a song is to click on your download folder's icon in the Dock, select the newly downloaded file, press the play button in the preview pane, and then (this is the sneaky bit) minimize the window to the dock. This way, you won't accidentally change the view of the window (causing the music to stop), and you'll still be able to hear the music the whole way through. If you deem it to be of high enough quality, then you can simply double-click it and add it to iTunes.
While this may sound simple, it's something that has really saved me a lot of time.

