I agree entirely.
I wasn't e-mailed either, and I doubt if anyone else was.
Although I was led to believe by admin that this would be the case.
Luckily for me, I already knew the service was closing:
Winamp Locker Service Closing
But there must've been plenty of other people (like yourself?) who either haven't bothered to visit winamp.com or their locker for a few weeks and then come back to find that their whole collection of mp3's has been deleted, with no prior warning!
Do as I did, and send an "Oi you!" e-mail to those responsible: