Personally I never listen to music on the radio. Ever. I have an extensive collection of music I have spent a great deal of time and money accumulating, and when I want to listen to music, I use it.
Perhaps more important in this case is the question of how people find new music to listen to.
New music comes to me in many different ways, but first and foremost I've become attuned to my own likes and dislikes. It's almost a sixth sense one can develop. I am not afraid of experimentation, and I'm certainly not afraid of buying something I find no value in - it has so very rarely happened in my lifetime of music buying.
How do I find new music? Well, a year or so ago, I bought a copy of Lou Reed's Metal Machine Music. I saw it very cheaply, and it has a reputation, so I wanted to experience it. When I got home, I looked around the net for a bit, and I came across a transcribed version performed by a jazz band called Zeitkratzer. Of course, I had to have that! Loved that one, so bought a bunch of other Zeitkratzer titles (I now own 14 or so CD's from them).
Zeitkratzer covers a piece by David Lang. I didn't know Lang, but I liked the piece, and I looked him up. Lang is a minimalist, and he has had a lot of discs released by Cantaloupe. So I checked out Cantaloupe's web site, and soon realized that it was run by Bang on a Can, whom I already knew musically. It was clear they were releasing some curious things, and I've ordered 7 or 8 of their discs to try them out (plus the Lang's). I just know I'm going to love what I've ordered. And it turns out a member of Zeitkratzer has also recorded for them.
In the mean time a friend of mine is really into choral music - Hilliard Ensemble etc. I have some of their music, but I admit to finding it a little too alive for me. But I like the voices. So I do some research, and get introduced into Theatre of Voices. From their I find an incredible recording of In C, but also another terrific choral piece by David Lang!
I'll end this thread here - but it doesn't stop at this point. The main thing I'll say is that I don't own a piece of music that hasn't somehow crossed my radar. But that's no accident - I'm always opening myself up to the possibility of stumbling onto something. Each CD I own is part of a long thread of interests, curiosities, and experimentation.
I miss things, of course. But I don't find myself short of music, only of time to listen as I would like. One flaw I will admit too, I have a physical relationship to my music [no, not that kind]. I choose it, I commit to it (I pay for it with my hard earned money), I get it and hold it in my hands, open the case, place the CD into the player. Hence, digital only holds no great love for me. Convenient, yes. But for paying for? No. In fact, I don't even consider the digital files I have (I make them to listen on the train each day) as being part of my collection. I don't believe a set of digital files equates to a music collection. I could download Terrabytes of digital files if I wanted, but it wouldn't constitute a collection, imo.
However, I'm a dinosaur - and I appreciate that new music needs to be digital, and perhaps even digital only. Though I mourn physical media.
I follow my heart, and it never lets me down musically. That's how I find things.