For the last few years I've been using Last.fm to discover new music. Whenever I find a track that I like I'll mark it as "loved". Every so often I go through my list of loved tracks and buy an album or two.
I used to have a python script that would list loved tracks along with links to search eBay for CDs. I've now rewritten this as a small web app.
Give it your Last.fm username and it'll list your loved tracks along with links to buy them on Amazon etc. Once you've bought an album by them, or have decided that you don't want to, you can hide the artist so they get removed from the list. It uses Quolace to save the list of hidden artists and make sure it's the same on all computers that you use.