You don't have a CD?!? If you've got fans that have come to see you more than a few times (especially if they've brought friends) they will buy a CD, even it's just four or five tracks for $5. Now you've got something that makes a few extra bucks and a nice demo to send out.
These aren't really web tips but they are semi-tech and common sense tips (some just from a "fan point of view") not in any particular order. It's really just details on promoting yourself and giving fans information:
Your name (and album title) should be clearly printed on the disc, I don't care how creative you've made it look. I'm serious, you'd be surprised at how many mass produced CDs I've purchased and once I pull them out of the case I'm not sure which CD they are because it's not marked at all (but it's pretty).
When selling CDs to fans the CDs should come in a Jewel Box (plastic or cardboard) and should at have least one page of linear notes (no matter how short). And number the tracks so we can match the songs with the names.
The disc should be properly labeled (not with a Sharpie!) by printing labels or getting printable CDs. Fans aren't looking for anything super professional but give us an album name and track listing.
Your web site address should be clearly on the CD and on the notes/case. Remember MySpace is not your space, it's their space, and some day you'll be sad you gave them all those links that link to their site instead of to yours. If you're at a point to be making demo CDs you should be spending $20 a year on your own domain name even if it's just for a page with contact info and links to MySpace and/or other sites that you have info on (trust me on this, you'll thank me later).
You should always have a sharpie (permanent marker) to sign your CDs for fans. Trust me, if they are spending ca$h on a CD from you at least a few of them (all of them) want it signed. And they want to see you sign it, they don't want it pre-signed if you're going to be standing right there anyways.
Your track listing should be on the CD. I don't always have the case with me (or even know where it is anymore). Number the track listing so I can figure out which is which.
Nothing should be printed in a font smaller than 12 (preferably 14) point.
When they put your CD in the computer you want it to have the songs popup on the computer player, right? Here's how.
Take your CD and put it in a few friend's computers and run iTunes or whatever music program they have. Then put in the titles of the songs, album name, your name and anything else you want in the CD's MP3 tags (ID3 tags) to contain like your web site address. And then submit your information to the CDDB or whatever CD database they use. You'll want to do this on multiple computers on both Mac/Windows/Etc., iTunes on the different platforms seems to read the tracks a little different so you'll want to do this several times. (When your fans insert the CD they just bought from you and their computer knows all the names already they'll be excited. Plus when a friend of theirs is listening to a song on an iPod or MP3 player don't you want them to know who is playing it? This sounds complicated but it's not. Just stick it in the computer and you'll see what I mean.)
Most of the above tips are free advertising for you. You want your name and ways to find out more all over the place and we want to know about you. We're your fans.