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Oh my god, it's like this thread was made for me. Give me a half hour until I get home and can really comment properly (tl;dr I have a HEAP of suggestions but it really depends on what sort of music you're into). In the meantime, I'd agree - bandcamp is great, and most of the time from there you can find the band or artist's Facebook/Twitter etc. I got into it all just by going to local gigs, which is absolutely pricelessly worthwhile (actual price usually about $5).