The nature of the ultra-luminous X-ray sources (ULXs) discovered in significant numbers in nearby galaxies by XMM and CXO continues to be a controversial topic. Interpreted simply as Eddington-limited accreting binaries implies compact object masses substantially in excess of those derived for typical galactic black-hole X-ray binaries. Whilst this could be alleviated by the effects of relativistic beaming, no ULXs have been observed in our own Galaxy. However, the best example of relativistic jets in our Galaxy is the prototypical microquasar SS433, an apparently very weak X-ray source, yet its jet power is enormous. Nevertheless there continues to be great argument over the nature of the compact object in SS433 and I will review the most recent studies, showing why super-Eddington limited accretion can lead to extremely dense outflowing winds that make dynamical studies next to impossible. Of potential significance to the nature of SS433 is the discovery by INTEGRAL of a new class of highly obscured high-mass X-ray binaries, one of which we have discovered to exhibit a long-term modulation on a timescale similar to that of SS433's precessing jets.