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Tangent measure distributions are a natural tool to describe the local geometry of arbitrary measures of any dimension. We show that for every measure on a Euclidean space and every s, at almost every point, all s-dimensional tangent measure distributions define statistically self-similar random measures. Consequently, the local geometry of general measures is not different from the local geometry of self-similar sets. We illustrate the strength of this result by showing how it can be used to improve recently proved relations between ordinary and average densities.