I buy my music off eMusic and bleep.com (home of The Aphex Twin), and (very rarely, cuz it's expensive) off iTunes. I also track a number of the netlabels who let you download their stuff for free ([link|http://www.mono211.com|http://www.mono211.com] is one) and keep a weather eye on [link|http://www.legaltorrents.com|http://www.legaltorrents.com].
You don't have to buy music off the majors.