Airport Express is basically a wireless access point that allows you to stream content from iTunes, and plugs into an amp or receiver. It has a headphone socket which doubles as an optical out, so you can stream the digital feed to the optical in on a receiver, for example, for improved sound quality. Quality just from the audio output is still very good, though.
Note that by default it
only accepts a stream from iTunes, and if you want to use another media player (such as Winamp or Windows Media Player), or play a BBC Internet Radio feed from your broweser, you need an application called
Airfoil, which allows you to route the audio from
any application to the Airport Express.
Some people here have reported issues getting it to talk to their network, but I've had none, either from my iMac or Vaio laptop.