I haven't really ever needed it, but there is software that lets you convert audible to mp3.
No iTunes crap needed for audible. The software needs to be on a system with the audible manager is all.
I prefer to keep them in audible format, that way the chapters work correctly on all my devices. I haven't bumped into an unsupported device in a while, the Droid was the latest, but it only took them a couple months to have Audible for Droid out after I got my Droid in June. I tried using the MP3 converted books, and it was a total pain, relatively.
––ETA: As for CDs, Audible Manger will burn a book to discs now, it just takes a lot of CD's and isn't worth the hassle to me, so I haven't bothered with it. It WOULD be neat if it burnt a book to CD as MP3 "chapters", since most CD players out now support mp3 discs, but that would eliminate their copy protection.
I don't mind paying $20/month for 2 audiobooks, though. I also heard authors also get a better commission on audiobook sales compared to book sales.