Unlike iTunes, with its draconian non-redownload policy, Microsoft's Zune Marketplace will let you re-download purchased songs up to five times (plus even more if you call up tech support). Apple has been known to let people download their purchased music library again—especially if your name is Wil Wheaton—but for the most part they recommend that you back up your music instead of rely on them to be your data repository.
This may be a small detail, but it's something that's nice to have if your hard drive ever gets corrupted