Always with the bands I'm really into and with my constant favorites. If I've just gotten into a band, I might try and stick to the main entries for a while just to get a good vibe for the "constant" of the band's feel, but if I end up really enjoying them and sticking with them, I'll no doubt try to soak in every ounce of music they make.
It also turns out that with almost every single band that I consider a favorite, their B-sides/Bonus/Demos end up being some of my favorite work from them. I guess examples cause fucking DTF:
- The already mentioned PT's Chloroform and Drown With Me, along with SW's solo stuff, The Map and Home In Negative.
- A bit more controversial as most fans just consider it an official "disc" by now, but the previous "bonus" of In Rainbows is all absolutely amazing. Down Is The New Up may be my favorite song from them, tied with Up On The Ladder.
- AFI's Crash Love bonus tracks are amazing; Fainting Spells, We've Got The Knife. Then There's stuff from December Underground like Jack The Ripper, and my favorite AFI song, Rabbits Are Roadkill on Rt. 37.
- There's too many Devin Townsend extras to name but there's a whole hell of a lot from the guy that's awesome and considered a "demo/bonus/extra". One I recently fell in love with is the super ambiant, electronic/"Tron-like" Accelerated Evolution extras Locate; Echo; Assignable. Ho Krll off Deconstruction is incredible (though I think that may have appeared earlier). Pretty much all of the Transcendence extras are amazing. There's just too many, and many are just considered "more stuff" by now considering the amount of awesomeness the man comes up with.
- Gorillaz is another band that basically have a whole other discography just with bonuses alone. Hong Kong; People; Rockit (which is incredible in its own right and should be an album entirely); Faust; The Sounder; then there's the tons of randomness that aren't even on albums or were released in secret through the early days of the mysterious of the net. Mr. Softy's Balloon Race is fantastic; Dub Dumb is super cool. Again, too many to name.
- There's a few miscellaneous ones from both OSI and Chroma Key that are either bonuses, B-sides or extras in some form that are pretty nifty. I don't think any stand out as favorites but I definitely spin them now and again (No Celebrations particularly from OSI).
I think I'll end it there.
Suffice it to say, if a band I love has tracks out there, I want them. It can give insight into a different kind of music the particular artist(s) want to create (and may well in the future, as is the case with a lot of the aforementioned; some even turn into full albums) or something they're interested in. It's also cool to hear something from a band that does something very particular that has now done something so far out of left field that it ends up weirdly working well despite being the polar opposite. Any way you slice it, tracks that are out of place or are considered unfinished or bonuses are cool because they're almost always different or may be a piece of the album before that's fallen off or considered not as good (but it may end up being your favorite).