Amazon MP3 weirdness?

I used to download albums off of torrents, but I stopped because it was too risky (a lot of tracks would have errors), and I want to support the artists. But, I don't have the time, funds, or space to go out and buy overpriced CDs. So I'm buying off of Amazon MP3. The weird thing is, when I play songs on iTunes that are meant to lead into each other (think "Dark Side of The Moon", or "Abbey Road"), lots of times there is a small "click" in the transition, and sometimes even a gap. Why is this happening? It's legal music with proper gapless LAME tags, so it should be playing perfectly, yet it's not. Anyone else having this problem?