I buy albums, I download stuff and buy what I like, I buy stuff that's too obscure/limited to download, and I impulse buy. I can buy albums I've never heard of before if I am familiar with the artist, or if it's in the sale and I think I would like (I got herbie Hancock's headhunters because his name sounded familiar, and no other reason... I love the ablum!)
Amazon is great because you can pick stuff up cheap and shit, so yay, Crazy World of Arthur brown! yay, obscure Daevid Allen releases that're to rare to find a download for! Yay, Acid Mothers Temple releases with great artwork!
I really enjoy owning a physical copy of the music, and most good musics (most, not all) tend to go way over the top with numerous bonus tracks, cool booklets with great gatefold artowrk(that has been kinda badly shrunk from lp case to cd size) and such. It's nice to sit there with like, I dunno, Love's "Forever Changes"(an impulse buy, I brought that and "The forever changes concert" at the same time even though the latter is essentially the whole album but just... live, I'd 100% recommend them both to everyone) and listen to the music, whilst reading about the artists' thoughts about what went into it.
I have well over 200 albums on CD( 40+ of them Zappa). Some of them like ELP's Tarkus(brought because I like the cover, and the name rung a bell) ended up being a disappointment, some like Pink Floyd's Saucer full of Secrets ended up a really nice suprise(I'd thought Piper... was their only psyche album) Stuff like Captain Beefheart was a mind-blowing suprise. I'd heard about him but didn't know what he soounded like until I impulse brought Trout Mask Replica.
It might seem risky to spend money on something you don't know you'll like, but shop around, and when you hit gold it's great, much more satisfying than downoading from some random blogspot.