In a previous post on how to improve your website traffic I mentioned that when sharing a video or stream of a song, it should be embedded on your official web page. Sites like YouTube are designed to keep people interested by jumping around from video to video. Attention from your music will quickly shift by something else they recommend. Their aim is not to drive traffic to your site, or to get you a sale.
By linking people to the video or song stream embedded on your site it is much more likely people are going to streamline more of their attention to your material.
I was on the Apple site today trying to find a way to cut out the middle man taking a percentage of my iTunes sales on top of what iTunes takes. I ended up contacting them, and received the response that I have to through a third party such as CD Baby or TuneCore. Unfortunately, it seems like third parties are the only way to go.
I did, however, come across the next best thing and yet another reason to link people directly to your site: the iTunes Affiliates program. If people buy your music through the link they provide you earn 5% of the sale.
Amazon offers a similar program called Amazon Associates. I would highly suggest you sign up for it as well.