Bandwagon is an attempt to make a federated social media for artists. Who knows if it'll succeed, but checking out the artists on the platform would be a first step. :)
The artists link whatever services they like, which in a way I think is nice. Personally I don't like paying for digital files, so my music expenses are mostly spent on vinyl records. The artists are probably not left with much after all the shipping, the vinyl, the cellophane lining, the high gloss, the tape, and the gear, but at least I end up with something that's mine.
As others have mentioned, Qobuz is a French company running a DRM-free music store.