Unreal won't install for me on windows XP :/ I didn't really like the whole Nali thing anyway.
2k4 is far better than 2k3. 2k3 started collecting dust on my shelf shortly after it's release, 2k4 I still play (and that's saying a lot considering I'm a DM player and most play ONS). Considering how cheap it is, and all of the mods being released for it, and the official content; aswell as the official ECE bonus pack being released soon with new maps, vehicles etc; and all of the editing and scripting tools out of the box, I'd say it's worth every penny, even if you're only mildly interested.
I'll stop before I sound like an ut advertisement
Btw, there are some plugins for winamp that will let you play the Unreal music files after you export them with UnrealEd