The EFF has put out an excellent guide to why DRM is bad for you.
Many digital music services employ digital rights management (DRM) — also known as "copy protection" — that prevents you from doing things like using the portable player of your choice or creating remixes. Forget about breaking the DRM to make traditional uses like CD burning and so forth. Breaking the DRM or distributing the tools to break DRM may expose you to liability under the Digital Millennium Copyright Act (DMCA) even if you're not making any illegal uses.
In other words, in this brave new world of "authorized music services," law-abiding music fans often get less for their money than they did in the old world of CDs (or at least, the world before record companies started crippling CDs with DRM, too).
They don't mention Rhapsody specifically but Rahpsody uses Microsoft's DRM, which is covered.