iTunes for Windows can transfer a variety of audio and music files to your iPod and iPhone, including MP3 and AAC encoded files (click here for a complete list). iTunes for Windows can only sync with iPod, iPhone, or Apple TV. However, the music you import with iTunes, or iTunes Plus purchases, will play on many third-party music players. See this document for additional information.
Using iTunes, you can also burn CDs and DVDs in several different formats. For more information, see this article. Some songs purchased from the iTunes Store are encoded using a protected AAC format that prevents them from being converted. You may be able to upgrade those purchases to iTunes Plus format.