I've never used Bandcamp, but that is like the only place I would consider giving money to. On Friday's all profits go directly to the creators themselves, and you own the music. Idk if they use DRM, but they have several audio/encoding options.
Like others said, if you're gonna pirate, then pirate, but if you do wanna give people money then Bandcamp is best. Especially since you're not streaming music when pirating (or at least not from a public service)