You'd think that all the money goes into THEIR pocket - but most of the time, bands are making more money for other people then themselves. The money has to go to all the people who worked on the record. Ex. The producer, mixer, engineer, studio rental fees, etc. My guitar teacher was once in a band, and he was telling me that not all the money goes directly to them. The band makes a percentage of the money - not all of it. You're actually supporting the people who work their asses off to make this record a success, not just the band or label.