It's a difficult one to answer, as several of the categories overlap... which is probably indicative of the turmoil the music industry finds itself in.
I voted "music streaming services", as I stream my own music collection, and use Spotify, LastFM and Pandora (an advantage of US-based work servers). I probably listen to most of it through an internet radio, either stand-alone, or as part of a hi-fi setup.... so that's radio covered as well. Most of my music exists as physical CDs before I digitise it (or I buy a digital download as well, which I do for about half the CDs I own). Then I buy some digital downloads that aren't easily available in the UK (but admittedly fewer). I don't use video players for music, so that's a "no".
Working out which is the main way has given me a headache. Time for some music. Reciva radio on at the moment, listening to ERT Trito at themo.