I bought an MP3 tune from Amazon, but the download wouldn't work.
Safari OS X kept saving a ".amz" file. The instructions said to "open it", but of course Safari refused. The "help" link took me to a Windows specific help page.
The real answer is that you must first Install the Amazon MP3 Downloader. The downloader is supposed to require that, but it didn't in my case. I migrated my account from a machine that had the downloader installed, so that might explain the bug.
I do wonder, however, how many OS X users ever buy from Amazon. I'm guessing it's a very low number.