Merlin of 43 Folders has a great post on mistakes bands and record labels make with their websites. I especially like the one about overuse of Flash:
Perhaps worst of all, most all-Flash sites prohibit your fans from creating deep links to artist, album or song pages. Your fans are trying to drive people to the cash register, but you insist on making them watch a puppet show before they can even enter the damned store.
Not to mention that Flash makes it nigh impossible to cut-and-paste any text from the website. Not a good idea if you want newspapers to write about you.
My own personal pet peeve: bands that only post song clips and not entire songs. What if your song has this totally amazing chorus, but it doesn’t start until a minute in, and your clip is only 30 seconds long?
UPDATE: related discussion at Metafilter with more good comments.