Speaking of directly supporting developers, have you guys seen how fast Double Fine hit their fundraising goal? They were shooting for $400,000 in 33 days, instead they got $1 Million in 24 hours. Everyone who donates is essentially pre-ordering the game, and all the money goes straight to the developer, not the publisher. I don't think this model can support big budget games like your Mass Effects and Skyrims, but it's a hell of a way to give the developer some breathing room for little creative projects that the fans would really enjoy but publishers would never green-light.
If you want to support developers, buy on a subscription model - World of Warcraft, for example - or make sure the studio is still in business, like Amalur: Reckoning (Curt Schilling's homage to all the RPGs he's ever played, and according to those who've had the chance to play it, a great game experience).