Playback device is a much bigger difference than lossless vs. mp3. If you think you're getting a subpar experience, another thing you can try is listening on some different headphones with different frequency responses.

I put .wavs on Bandcamp for my music though -- sometimes artists put higher fidelity files on the pages they more directly control. Rather than ripping an mp3 off youtube.

They don't. Neither does Windows AME.