Buy European

Bandcamp. You can pay the artist or indie label directly. Sure, you might not find really big name artists on there but you wil find a lot of classics from yesteryear. For example, Mastodon's (the band) first two albums from they were signed to Relapse Records. Plus you can download in high quality formats like FLAC and WAV.

Physical media like CDs and vinyls. Super high quality but three things to consider: money, space and patience

Ad-silence. Works with both Spotify and Tidal. There's also xmanager but that only works with Spotify.

My personal favorite: Sailing the high seas.