I don't know how you feel about Spotify et al, but I just got really into Rdio which is like 5 bucks a month for unlimited streaming with the added benefit of not handing all of your info over to Zuckerberg
Mark Zuckerberg owns Spotify? Huh. I don't use it or streaming services like it -- I like having the music I listen to, and I don't like jumping through hoops to get it. I have found that using what.cd, uTorrent and foobar, no one gets any of my information, and I get the music. In turn, I spend a good amount of my time spreading the word on new artists in various ways, and use on live shows the small portion of my income allotted to music-related purchases.
I thought Zuck owned Spotify, but I just looked it up and apparently I was wrong, but Spotify is still pretty friendly with FB. I felt the same way as you about wanting to have my music rather than use a streaming service until I found Rdio. Switched over to ease my conscious (not really) since I've never be great about promoting the stuff that I listen to or going to shows. Really I just switch for the slick interface.