Reward the artist by going to see a show and buying some merch. Nothing else really gets back to them in any significant amounts.
Although I agree with you wholeheartedly and try to support my favorite artists as much as I can, this is nowhere near as practical for most of the world as one might first think.
One of my closest friends is a mad Dave Matthews Band fan and has been fortunate enough to attend at least four DMB gigs over the past twelve months. I'm sure Dave Matthews and my friend are both pleased as punch about this setup. My favorite artists include amongst others David Bowie and Tom Waits. I live in Japan. Go on and have a guess how many gigs either of them have put on in Japan in the past 12 months.
Now guess how many gigs either of them have put on here in Japan in the past 12 years.
Hint: you could have a nasty accident with a bandsaw and still count them on one hand. Now I'm not faulting the artists or their manager or anybody. That's life unfortunately. Even if my tastes were more mainstream, I still wouldn't come close to being able to see as many concerts as most Americans. I don't see Rihanna or Jay Z or Radiohead hosting many concerts here either. Radiohead hasn't toured here since 1994!
I've seen many of my favorite artists both here and overseas and almost without exception I've gone out of my way to get great (read: expensive) seats because I see great value for money in spending hundreds of dollars in seeing my favorite artists perform live. It's unfortunate for both me and the artists I would be willing to support that I don't live in the continental US or mainland Europe where most concerts seem to be held.
"One lawyer can steal more than a hundred men with guns." -- The Godfather