Indie labels usually give a better deal, numbers-wise, than the big labels do. I know of a couple that split the money 50/50 with the band, but that is after all costs are paid for (recording studio, manufacturing, promotion, etc.). The smaller the band, the less likely it is that they are going to make enough money to pay off the cost of making and distributing the CDs they sell. And they won't be spending much on promotion - they would focus a lot on music blogs and word of mouth, trying to get you on the radio, maybe some free in-store shows.
Buying directly from the label or directly from the band will help them a lot since they won't have to pay out half the cost of the CD to the store that sold it to you, they get all the money.
I think mostly those are the ones that still have day jobs...
