What is your Experience Buying CDs And Vinyl Directly From Artist Websites?

I buy most of my physical media directly from artists. The majority through bandcamp (~750 purchases over 6 years), particularly on Bandcamp Fridays, when all proceeds go to the artists. On a few occasions also from artists independent websites.

For items in stock, it typically takes a week, maybe two (for overseas shipments). A few times, I have received a notification from the artists re being on tour. As with smaller artists' tours don't last for several years, it may take a week longer. No big deal.
I also frequently pre-order upcoming releases. That can take a while, say a few months, in one instance over a year. As I pre-order on a regular basis, it is a fun surprise when something arrives.

Never had a problem

Sometimes it’s the only way to get special pressings. I remember Radiohead released a dbl/45rpm of one of their albums only to  members of their fanclub.

I too like to support the artists whenever possible.  However I recently ordered some vinyl from a boutique label and it took at least a month to receive my purchase.  If you’re buying a gift like I was, plan very far in advance.  

I bought a clear vinyl version of "Middle Cyclone" from Neko's site years ago.