Easy Street Music and Sonic Boom in the Seattle area (indie record stores)
About 10 different online distribution sites.
From the artists themselves whenever possible from their website or myspace paypal links
I download almost everything before I buy it though. If I like 3/4s or more of the album I'll pick up an actual copy if possible (somethings our out of print, limited releases,etc) seeing 99% of the stuff I listen to is not mainstream thus meaning every sale helps.