Because you don't have to copy it over/import into iTunes from wherever Amazon Music or Google Music dumps the music files. Ditto for buying from an iOS device (which I don't know whether that is really possible). And if you buy stuff only in one store, you cannot (at least with the iTunes Store) buy songs accidentally that you already have bought before. You also don't need to give Google your payment details (if you use any iOS device, Apple already has your details for the App Store).
Those things might not matter enough to accept the price difference, but then looking for the cheapest version is an extra task in its own.
I find that CDs are normally much cheaper than iTunes; often less than half the price. With iTunes Match, everything gets stored in the cloud and is accessible anywhere.
So CDs are usually the best way of buying music.