EMusic
I signed up for EMusic's service. They have the right idea (no DRM, immediate downloads) but unfortunately too few artists and tracks available. Obviously some of the bigger labels, or publishers, or both, said something like "how can you imagine putting tracks up for sale with no DRM?" [even though that's what CDs are] or "how can you pay us such low royalties compared to CD?" or just "why should we bother to sell things on-line?".
But EMusic, if only for respecting our first sale rights, deserves our support. (Beyond that, I'm starting to suspect that they're exactly the way I would like to buy music -- except I'd like it to be available in Ogg Vorbis format too. They could offer MP3 and Ogg downloads side-by-side, and give you a discount on your subscription if you chose Ogg downloads instead of MP3. It's cheaper for them, because they don't have to pay the MP3 royalties.)
I know over a dozen people who've said "I want to pay the artists, but I want an immediate download of an unencrypted track, and only the track I want". Maybe I know atypical people, but I know lots of people who could make good EMusic customers.
Maybe I'll write to artists I like and suggest that they either offer their own MP3 and Ogg sales or sign on with EMusic. (That's assuming they don't have contracts with labels which would forbid that, which is a huge and totally unwarranted assumption.)
