Pently of today's rock bands have the cojones to do that. Problem is none of the record producers have the cajones to give them the financial support they need to get radio play and go platinum. Check out some Young Dubliners, Seven Nations, Crispian Mills, Bob Schneider, Stan Ridgeway, A3, Tindersticks. There's a lot of very creative and interesting stuff going on in music today, problem is unless you live in a big city that has a real spectrum of radio stations it's nearly impossible to find, that's why I live off good soundtrack albums, people like David Chase and Martin Scorsese are a Godsend to folks who want to explore new faces in music without having to live in New York City.
Maybe the artists should do it for reasons other than selling records? Plus, they can always release through their own websites.