I have to be very selective what I buy now, I am overflowing with software, with nowhere else to put them.
1) I agree with Tom6897 list of labels to look for, but would add ECM and Stockfisch. Buy almost anything on ECM and there is a lot, great recording and artists and a knack for throwing odd artists together. There is a wonderful recent CD called Officium, pairing Jan Garbarek's Jazz saxophone with the Hilliard ensemble, an early music ensemble, it's great.
2) I agree also about Amazon, but look to user reviews and you can choose ratings as a filter in a search.
3) Of the print magazines, I find HiFi+ the best to introduce new artists
4) HiFi shows, that's one reason I go. You always find some new music being demonstrated in the rooms.