For many indie artists, the issue is not just that it takes time and (some) money to record and publish the CD, but there's also the need to market the finished product. Sites like CD Baby (http://www.cdbaby.com) offer artists a storefront. Through live appearances, mailing lists, blogs, internet radio, etc., they can try to drive traffic to their page. Indie artists typically are not going to be Rock Stars. They'll probably have day jobs, family committments, and bills to pay. They're not doing this to get rich. They're doing it in their spare time because they love doing it.
Also, it's easy to tell a musician to give away their songs and just sell tickets and merchandise. It's hard to pay for all of the gear, the marketing, the crew (if any), and the production of the merchandise before you see a single penny of income. In many cases, it's easy to lose money on a show. Consider the fact that these same musicians must compete for audiences against corporate acts backed by major labels with gigantic advertising budgets. A little respect for those who go it alone might be nice for a change.