Please don't complain about the sorry state of music industry in this thread. We know.
I never got into streaming music, but I have a pretty decent digital collection thanks to Bandcamp and Soulseek. My laptop holds all of it. My car has a USB port where I can plug in a stick and listen to whatever I want. I am even playing music on my stereo right now through a Bluetooth connection that is playing local files. It's great.
The biggest drawback with having a local collection is that it can be hard to keep things organized, especially if the music is coming from multiple sources. But that might be less of an issue than dealing with walled garden music players. YMMV.