I know the internet is on fire and everyone on earth is commenting on this, so i'll weigh in.
I have something like 12 albums. In 2004, he released Musicology in the newspaper of all things back in MN and WI. I got a paper with my morning coffee and the album dropped into my lap. I went back the the newstand, and bought another paper, and got a second copy. It was unreal. Googling later I found out the newspaper stunt had been a publicity attempt to reach out to fans in the Midwest. Man, did it work! I binged on his records for about a year after that.
The only time I actually saw him was in the same year at a club in MN, Maybe the First Avenue/Seventh St. Retreat, and he just randomly walked onstage during someone else's set (I can't remember the band's name) and shredded a 20-second guitar solo, and walked back off. It was one of the most insane things I've ever seen at a small club show.
RIP Prince