don't stress out about it - you're on the right path, so just keep exploring. For music, depending on your location, there are various internet stations that broadcast indie and other stuff that is not mainstream. Also go to local concerts and buy CDs from artists - they actually need it. You should've been prepared to forfeit ownership of anything on amazon prime, kindle etc, for amazon has long history of denying people access to stuff they assumed they owned. For movies we collect DVD/Bluray disks as I don't trust any of the streaming providers, nor do I want to share with them my viewing habbits (downside: you need storage space for those). For podcasts I love AntennaPod on Android. For books we always opt for unencumbered epubs, sometimes pdf which are abundant. Audiobooks through librivox are a thing as well.
I will repeat myself: don't stress out. Take it as a wild safari and go hunting for new and exciting things that are not entangled with big corps that suck the soul out of everything : artists, consumers, employees, shareholders, etc.