You can stream the album directly from the player. If you like it you can always hit the share button. If you REALLY like it you can also hit the buy button, which will re-direct you to the Bandcamp store where you can download the album in almost any format you can think of!
We like the people at Bandcamp, mainly because they make sure that the artist gets paid fairly when selling music on their website. Rather then downloading straight to your iTunes or media player, Bandcamp sends an email with a link to download the album straight to your computer.