The new app Airfoil lets you stream to your AirPort Express from any app, not just iTunes. It's from the makers of Audio Hijack. I don't own an APX myself, so I don't know how well it works, but thought that some of you would be interested 
Edit: The app was previously called Slipstream, and I see that it's been mentioned a couple of times already. It now seems to be out of development and ready for use
Edit: The app was previously called Slipstream, and I see that it's been mentioned a couple of times already. It now seems to be out of development and ready for use