Yeah, Amazon works wonders. I've only been burned, there, a few times. The real problem, as you pointed out, is when it's a little band whose record you can't afford, but really want, and which probably needs the scratch. It sucks. I try to buy those records at shows, because then, even if it's a dollar or two more expensive, at least you know that those extra one or two dollars are going towards keeping the band fed and warm. That's my de facto course of action, because many of the bands I follow really do need the help of their fans.
I remember seeing Yellow Swans, a year or two before they broke up, and they were just driving around in a decade-old minivan. They obviously hadn't showered in days, if not weeks, and took turns sleeping behind the merch table, while the headliner played. They borrowed a promoter's computer to try to find directions to their next show, as well as to find out whether or not it was actually still happening, and also to get estimates on fixing whatever was wrong with their ride. They were like an hour late getting to the show, because the thing'd broken down. It was unbelievable.
Ever since then, I always try to buy something at the merch table, for those little bands. They're sacrificing their lives, sometimes, to be on the road. I know a band from Baltimore, as well as one from Chicago, who had to make it to that next gig in really bad weather, in order to make enough money to get back home, and both had serious accidents. And still made it to the shows, because they had no choice. Many of those kids lose their jobs, their lovers, and all their money, just trying to get people to sit up and listen. I guess that that's a bit off-topic, but it really is important. The Rolling Stones don't need you to buy a t-shirt, so don't bother. Just buy a Titus Andronicus record, so that they can pay to take showers, the next morning.