My main source of CDs is the Brussels public music library, where I think they have one of the largest public jazz library in the world, and you can borrow CDs for 1.5 euro for a week. That's where I borrow approx. 10 to 15 CDs a week. Browse under "Nom" (name) to see what they have to offer in jazz, it's truly amazing. You can also check under "Nouveautés" what they have to offer each month.
General downloadsites :
CDBaby (although as expensive as real CDs!)
Digstation (limited choice)
Labels from which you can download
Leo Records (via lulu.com)
Moserobie (mainly Scandinavian)
Directly from the artist :
Bugge Wesseltoft's website (has other artists as well)
David Binney has some concerts and albums on his site.
Any other ideas? Please share them.
(Many thanks to Alan for his contribution)