Bah. You support the artists you like by going to their shows, buying their t-shirts, etc. The record execs./labels are making a killing and artists never see their fair share of it.

That said, I buy albums of my favorite bands at their shows. I know all the profit goes to them, and it's usually a few bucks cheaper.

I'm an allofmp3.com fan here, but you do have to realize that it's not really completely legal, it's a gray area. I pay for the quality (the custom audio quality selection is great) and for the ease of having it all in one location, and the speed.