There's an interesting story on TechDirt about two bands that aggressively promote themselves at concerts, even to the point of meeting the crowd after they play:

Ian Rogers of Topspin ... writes about two bands he recently saw who clearly understand the value of selling (and, as he notes, neither band is using Topspin, so he's not promoting his own partners here) by actually realizing that selling merchandise is part of their job. He describes how one band, Halestorm, was opening for another band, but rather than being just a typical opening band that fades into the background, they made sure that people knew about them, first by putting on a great show and then by making it clear that (a) they have affordable merchandise for sale and (b) the band itself will be hanging out with the crowd and wants to meet everyone. ...

As Ian notes: "I'm not worried about these guys at all. Even if the record doesn't work at radio (it may) they're going to do just fine building their audience one show at a time." The band is doing everything right. They're using every opportunity to connect with fans, while also giving them a real reason to buy. They're not waiting for their record label to get them on the radio or MTV. They're doing everything they can to actually build up a rabid supporting fanbase from the bottom up.

If more bands did stuff like this at their concerts they wouldn't need the revenue they're supposedly losing to downloaders. I can't recall the last concert I went to that offered anything interesting to buy for fans of the band, beyond T-shirts.