I usually try to buy the CD's. For new releases I usually order from Amazon (usually the best price, plus free shipping). In the case of many older rock/pop bands however, the only CD's that are still in print are "remastered" versions -- which usually just means dynamically compressed more. For those I try to buy the oldest used CD's possible from a nearby music exchange store (within walking-distance of my place).
As far as downloads, I've got some Jazz records from HDTracks, but anymore I generally stay away from lossy download sites (eg iTunes, Amazon MP3). I prefer to have a lossless archive copy on both my hard driver, and make lossy copies from it as-needed to play in the car, or on my phone / portable player. Of course, if lossless codecs improve several years down the road, it would certainly be possible to convert my FLAC files into a hypothetical better-compressed but still lossless format. Plus hard drive space is only getting cheaper.
For example, my older car stereo will play only MP3, not AAC, so If I buy from iTunes store, that would mean I need to make a lossy copy of a lossy copy -- at which point sound quality degradaton is bad enough to matter even on a crappy car stereo... For my car I've actually used foobar to burn throwaway MP3 CDs that are replay gain level-matched, and with parametric EQ applied to compensate for my car stereo's (terrible) frequency response. (I'm not thrilled about the idea of spending a ton of money to improve my car stereo... I'd rather spend that money on a system I can enjoy in a comfortable, quiet listening room -- not one with 68dB background noise...)
If Apple were to sell their ALAC format in their itunes store, or Amazon sell FLAC downloads, I'd be more likely to go that way. I suspect it's an issue of the record labels intentionally wanting to limiting the quality for download services, anyway -- that way consumers would still have a reason to fork over $11-14 for a disc compared to $9.99 for an album on amazon.