There's an interesting interview with Ween at the Onion A.V. Club. Here's a bit on record labels that caught my eye:
O: At this point, with your Internet apparatus in place, is a label even necessary?
MM: People have been bringing that up a lot, but we were definitely not interested in putting out our own record. Everybody kind of expected us to do that, because we release records through our web site anyway. But they're live records, just for the fans, in very limited editions. I'm a traditionalist about music, in a lot of ways.