Business 2.0 has an article (with a pie graph) about who gets your music dollar when you buy songs online.

The gist is that the artists pick up somewhere between 8% and 12% (some a bit higher) and the site gets the largest portion (about 40%).

It is unknown if these are the accurate economics for any given service, but it's probably not too far off.

Of course, in this day and age, you've got to wonder if the artists really think that handing 30% to the label and 10% to the "middlemen", but much of this is really dependent on the particular site and the deals between the labels and the artists (self-publishers, as an example, don't have the same split).