I used to download all of my music and burn it to a CD, but my old comp caught a bastard virus. So no more downloady... until I get the comp fixed, at least.
I only listen to the radio for an hour on Sunday nights (before [as], naturally). That's when they play all the groovy local music. However, I normally can't stand the radio.
So basically, I buy CDs. We've got a great independent CD shop here in Knoxville, and they sell all the bands I like for cheap!
