Here's some interesting information showing how much an artist typically gets for an album sale through various types of outlets.
http://www.cultofmac.com/38097/infographic-most-artists-earn-more-revenue-through-itunes-than-at-retail/
Executive summary. Buying from the artist directly is good for the artist. Buying from iTunes is better from the artist than if you buy from a retail store. And the only thing that's less remunerative (for the artist) than retail sales are streaming services such as spotify.
