I'm in between on this one. One day, in swirling mists of time, I swore I would never download, this being in the days when Napster was a really dirty word! These days, it's a different story: find a track by a band I've never heard of, download the track plus one more ... then see if it's worth getting my hands on anymore.
I still love to go round record shops. Admittedly, HMV has the worst selection. I'm a record label nerd too, I look at what is out on what labels ... some of the labels I know I will like straight away. In the past, I have happily spent thirty/forty quid on CDs by bands I have never heard of previously ... these days that's down to ten or less!
Youtube is a great source of music. I'll watch a video by a band I like, then look at the recommendations ... you can hit on some real good stuff that way!