For sf/fantasy, I know that Diane Duane (big chunk of original back catalogue), Barbara Hambly (writes new novellas set in her old fantasy worlds), Catherynne M. Valente (backlist and new stories, IIRC), and Harry Connolly who wrote the Twenty Palaces series all do it directly from their websites. Peter Watts and Mayer Alan Brenner offer free downloads and have Paypal tipjars.
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