I've bought albums at concerts but I usually just download. Should start looking for a good independent place near campus/downtown.
The underground/indie hip hop scene is doing pretty well, to the point where more artists are rejecting record deals. You can make more money in the long term as an independent artist than (most) mainstream artists now. Sure you don't get an advance, but you don't have to pay large amounts back and can do what you want. Unless you're selling ringtones, may mainstream rappers don't make much money. They don't cultivate a tour following and of course no one buys their album. Then they have to pay back their advance, and before they know it the second album has been delayed until any buzz you might have had is gone. Fuck that