There are small Indie labels going through amazon.com but not directly. I know one here in the UK (one man, basically) and he's very pleased to have just signed a deal with Proper Music Distribution. The main advantage of Proper is their links with the big high street music retailers, but a side benefit is that they also feed product to Amazon.
It looks as if you need a middle-man distributor who has the commercial clout to get your CDs to places you couldn't do by yourself.
Sending to radio stations all over the place could be useful - I'm told that's an essential prerequisite if you want to get decent gigs in the USA. Given a distribution channel (web based, mail order, whatever) this could lead to some CD sales too, but it relies on radio listeners being excited enough to pick up the phone or get on the web to find out what the music was and where they can get it, and if the answer is that the local shops can't order it, then the process by which they can buy it had better be very simple and accessible or they won't bother.