While it's not the definitive or last study about this, there's an interesting Hypebot article which claims that blogs have more influence over record purchases than MySpace. Supposedly, MS helped Lily Allen to become a UK star but the Arctic Monkeys deny that MS was the vehicle that launched them. It'll be interesting to see other studies about this.
Also wanted to note this L.A. Times article about how fans are getting involved in artists' careers by becoming their patrons/producers. It's not an entirely new model (patronage goes back centuries and the fan-as-producer model is more than a few years old now) but it's worth mentioning and repeating after you hear all the gloomy music biz stories and wonder how artists are gonna carry on in a brave new Net world.