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Bandcamp is a great place to start I think. It's a website setup primarily as a distribution center for music. Artist's create a page and post what ever they see fit. Music is reasonably priced and sometimes free. And since it's the kind of place where you have to actively seek out the music you like, and choose to download directly from, the bands probably have a greater appreciation for your support. You can search with a tag of the city where you live and find local bands that I'm sure would love to hear from you.