Buying merch at the show is the best way to directly support musicians, especially smaller and local artists. If I’m wearing a band shirt then it’s most likely I bought it at their show. Most venues share very little, if any, of total ticket sales with artists. Some venues have adopted a “pay-to-play” scheme where the bands “buy” a set amount of tickets from the venue up front, and then hope to recoup the costs through their own ticket and merch sales. That’s how a lot of venues in my area operate, and the only people happy about it are the venue owners.

That said, a lot of popular band merch is sold under record company license by corporate retailers, or by online bootleggers/counterfeiters. Either way, most musicians won’t see much, if any, kickback from merch unless it’s sold at a live show.