If you've bought and downloaded music from Amazon, iTunes, and such, they are in a compressed audio format (MP3 or AAC) that sacrifices some audio details for the sake of smaller files. However, the practical effect of this is minimal. You would be very hardpressed to hear a difference between those files and the original CDs in a fair comparison unless you are one of the rare people specifically trained to hear such things. So you're missing a little, but you're not missing much.
What little you are missing cannot be put back, however. You've just got to live with it.
If you rip from CDs, you can use the Apple Lossless format, which sacrifices nothing.
If you can't explain how it works, you can't say it doesn't.—The High-End Creed