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Like the guy in the commercial says: "Never, never, never pay full price." What I mean is, just be aware how easy it is to get ripped off on buying new CDs. If you're going to buy a new jazz cd, there's only a few places, online AND physical stores, where you're going to get some semblance of value for money. For online stores, Tower and DustyGroove have decent prices. For physical stores, Media Play is okay price-wise, and Tower is as well. Borders and Barnes and Noble are generally outlandish- charging 18 dollars on discs Tower might charge 14 or 15 for. Indeed, their sales are an anachronism to their overall pricing scheme. Ditto Virgin Mega Store.
Finally, as an exception to the rule against "buying high," if you go to a show and the artist/band has CDs for sale, buy from them even if it's a little expensive. Why? Because the artist will see the dividends right away, whereas when sold through retailers, the artist has to wait for a royalties statement to come through, which in Jazz are infamous for being paltry after all of the various excises imposed upon the retail product. Buy direct then and so enable artists trying to sell their music independently; you can support their music and help their bottom line in the process.
Cool? Well, I hope this helps. Collecting for around ten years, it's advice that I've earned in some ways through resourcefulness, and in some ways through simply having to learn the hard way. Take all of my advice here and avoid any hard lessons. The writer has bought far too many discs not having first heard them only to be rudely disappointed and out of 15 bucks that could have bought something worthwhile.
Good luck in trying to build a hip little jazz collection. As you will find or may already know, the process is enjoyable in itself. Take it from here, anything to help a young cat (or just your average aging cheapskate) get some good sounds in his head.
I love jazz because anything is possible; it has few rules and the best jazz breaks those ones. I prefer free improv because it doesn't really have any rules at all.
I was first exposed to jazz in my teens (in the late sixties).
The first jazz record I bought was Filles de Kilimanjaro by Miles Davis, shortly followed by Extrapolation by John McLaughlin.
My advice to new listeners is to listen as widely as possible and not to make snap judgments--stick with it.