I buy CDs - usually online though ... sites like CD universe. I've downloaded a few songs from itunes and such... I probably should just do the MP3 thing... because what I do is buy CD's upload them to my computer - and then stash the CD away. I have huge piles of CDs that haven't been moved in years.
Not to get this into a big debate - but the whole 'I download songs to see if I like them then buy the CDs' is bullshit... especially in the last few years when you could simply go on the bands myspace and listen to a few entire songs from the CD, and then the 30 secs from other songs on sites like last.fm