I live in Europe. Had Spotify for about 5 years, stopped paying and using 6 months ago.
I usually buy from Bandcamp, mostly non mainstream music, and download in FLAC and store it on my server. I can stream through the app on my phone when I'm out.
For the ones I can't find on Bandcamp, or albums from major labels, I tend to find it on Qobuz in MP3. Pricing trends to be similar everywhere.
My pirating nowadays is mainly for old music or establish artists.
Edit: autocorrect
The best way might not be a perfect one. Still a little bit better than most other options.