• I get to listen to the artist's new songs, as they're recorded (couldn't find an Atom feed yet though), in high-quality MP3.
• If I like the music and want to keep a high-quality copy, I can download songs in FLAC (BitTorrent or HTTP).
• If I want to remix them, I can download the ProTools stems (again, BitTorrent or HTTP) and release my remixes under a Creative Commons license.
• I can donate money using PayPal to encourage the artist to produce more music in the future (or to pay for music I've acquired from elsewhere).
• I can read Kristen Hersh's excellent writing on music production and distribution.
• CASH Music has a great website.