Yeah, some groups have been experimenting with new models of business as lately. Marillion financed the marketing campaign for their 2004 album "Marbles" thanks to the pre-orders placed by fans. They do not have any major label supporting them, as they decided the only way to true artistic freedom was to cut off any chain with music corporations.
Some other artists are also navigating the seas of the indie labels, or even self-publishing, including some major ones, like Madonna, Paul McCartney or John Fogerty. It's also said U2 will say goodbye to Universal, though in this case, I hope they opt for wide musical distribution that does not involve partnering with certain company located in Cupertino (the same goes for Tori Amos, etc.)