One of my favorite bands, The Mother Hips released a download-only (with great artwork) show where they play Neil Young's "Everyone Knows This is Nowhere" in its' entirety. The sound quality is fantastic; make sure to get the FLAC version :-)
In a big picture sense, I wonder how this works for them. They don't have a deal with a major label but they are able to still get music out to their fan base. A good long-tail example.