I make a point of buying albums by independent and local artists, especially Canadian bands. For example, this guy:
http://www.ibreakstrings.com .
However, I do not think I have bought a "major release" for about 18 months. Mostly cause I hate that record companies insist in calling me a thief. They staunchly refuse to adapt to the changing marketplace and then get mad and point the finger of blame at computers and downloaders...adapt or die motherfukers.