I've been using LastFM for a while after a colleague recommended it.
I also like AmieStreet - music is offered for sale inexpensively - you pay based on the popularity. Which is an interesting concept. They also offer free downloads of new artists to increase their exposure.
I am a fan of RadioHeartland...and all of the old downloads of the Dale Connely and Jim Ed Poole Morning Show. Super great music and funny skits! The music selection is so good I'm actually thinking of upgrading to a digital radio in my car that has 240,000 miles in it. So that is saying something!
I haven't had any difficulties with any of the services. It's mostly just tons of fun. Rhapsody is also nifty - you can listen to 20 songs for free each month of your choice...so when I am really, really jonesing for a song and I have to listen to it right now I sometimes go there as LastFM can lead you around a little bit, teasing you.