Ooh! An issue close to my heart.
A lot of artists and labels also have their own websites and will sell their stuff directly from there, often via PayPal. Definitely not all of them, especially the younger artists, but I usually try and see if that option's there before hitting Bandcamp.
But YES. Bandcamp is usually the best way to support your favorite artists/labels. Please use it as much as you can, and even pay a bit extra whenever you think it's worth it. If you find yourself playing an album more than once or twice via Spotify, go throw that artist some dough on Bandcamp.
And please, treat yourself to a copy of it on CD or vinyl. Own the music you love.