The Google Music Marketplace isn't available in Europe so that's off the list from the start.
Amazon tends to do regional restriction, so I'm not sure if you'd be able to buy from there (either the .com or the .co.uk one) but they do have a pretty good selection of music.
iTunes sells unprotected AAC (.m4a) @ 256kbps which should be playable by most audio players made in the last 5 or so years. But if they can't, then yeah, you need to convert it to mp3.
You can also try 7digital.com; they have a decent catalogue and prices and sell mp3s as well as being available in Finland.
There's also Bandcamp, but that's more for indie, lower key bands.