Personally, I don't have an issue paying for music regardless of where the money goes - as long as the purchase is legal according to the letter of the law.
A record company does spend a LOT of money putting the album together, recording time, etc and then promoting the artist. Yes, the artist gets the shaft time and time again - and I promote them whenever possible by attending live shows, buying merchandise and music directly from them whenever possible.
But I don't have a problem buying from a local store either (vinyl/CD/etc) because it keeps the local store in business as well.
That being said, I love finding good tracks in unusual places - I've been a member of eMusic for more than 10 years - all the way back when they were $9.99 a month all you could download and every change since then. I used to get a LOT of indie artist that way... but some of them have disappeared from the site over time, and now it's a pretty big powerhouse since Sony has signed on with many of their artists. It's always been a haven for Jazz though... I've gotten plenty of great Jazz from them over the years - they used to have a large chunk of the Columbia Jazz catalog on there.
There are some great EDM tracks there as well - I've found Donut Junkie and a plenty of others over the years and the prices are reasonable enough I've been able to try out a lot more stuff than I would normally. I used to belong to a 'club' at one record store that after you bought so much stuff you'd get a free CD. I used to use that free CD to pick up an artist I had never heard of and sounded interesting just to see if I might like them. Over the years I discovered a LOT of great music that way.
c00l People MV Society 
