For a change, in this post I'll show a success case - or at least one of the closest things I've seen to that.
I was recently in Australia for work, and during my nice stay there a friend, Lars, took us on a trip on his boat. I was quite impressed that not only he had internet on the boat, but also that he had a wireless audio system called Sonos which would stream music directly from the internet from a service called Rhapsody (I searched for many songs including some hard-to-find ones and it just played them), could play different music in different zones (upper deck, lower deck, etc.), plays shoutcast radios, plays Ogg Vorbis, can stream from last.fm, and does all this without needing a computer. After all my previous frustration, this sounded like a dream. I came out of there decided to buy this thing, except I had learned from my previous mistakes, and this time decided to investigate the *whole* thing before buying.
As expected, it has some caveats. The first one is the price tag - about 1000 US dollars for the cheapest sonos bundle, including only one speaker, but I could live with that. What I cannot live with is that it's a very closed system. UPnP support is non-existent, so I end up needing a computer if I want to play my MP3s in it. Conversely, the Rhapsody (and apparently most online music sources) are full of DRM crap, so I cannot copy songs I download from there to a computer even if I'm paying for those services. Also, the wireless functionality (the speakers are wireless) is completely proprietary, so it's impossible to have just plug any audio application or output to play through it without needing lossy analog line-in/line-out connection between the audio source and the sonos, meaning I'd have to switch the cable from my TV to the PS3 to the computer whenever I wanted to play audio from a different source. Finally, there's no linux support for the things you do need a software to do.
I also found some other alternatives to the Sonos, such as the Squeezebox, which supports Linux, but still has no UPnP support, still doesn't support playing from other digital sources, and is still covered in DRM.
Given these limitations, I'm yet to find the perfect sound system.