Just to add another vote for CD Baby, as a band that was the 2nd best way to sell CDs for us.

The first best way was buying direct from our website, but not all bands have that option. One really cool model- the indie band Copper lets you name your own price for their CD, you can download the whole thing (DRMed, unfortunately), and as long as you pay more than a certain abount ($7, I think?) they send you the CD as well. Intant gratification, plus the physical product as well. And I know for a fact they get the vast majority of the sales (only a small percentage goes to the web site and distributor).