Agreed.
AirPort Express lets you play music from iTunes out of the box, and from any other application (including Finder) with the help of Airfoil (a very inexpensive application). Same thing for Windows.
APE has two limitations:
There's a small delay, which will mess up sync if you use it for video sound. If you want to use it with video, you'll need to do some tinkering in a not too user friendly media player app -- or use the Airfoil player.
The other limitation is that it only support 'CD quality' sound. If you want to play 24bits sound files, you'll have to use a cable. It's easy to convert 24bit files to Apple Lossless though, and few (if any) mortals are able to hear any difference.
The APE is also a wireless router, that might provide a wi-fi netwoork by itself, or be set up as an extension of an existing network. Set-up is very easy. There's an RJ45 port that let you connect to a LAN or a modem, or to wire other equipment to the wireless network. There's also an USB port that lets you connect a printer, but nothing else.
With cables you have two options:
An analog minijack to twin RCA cable (or minijack to minijack, if your amp has a minijack input), or a digital optical minijack to TOSlink cable.
The latter will be superior. Besides both the DAC inside most A/V receivers and almost any separate DAC will probably be better than the one in the Mac, the non-metallic cable will isolate your computer from your hi-fi system and thus eliminate any grounding/noise problems.
The AirPort Express has the same analog/digital combo output as your Mac, and will equally benefit from a better DAC than the one that's built in.