Everyone who uses Pandora should switch to
GrooveShark. NOW! Go! You get the exact same "make your own radio station" stuff but with the ability to play the exact song -- or songs -- or playlists -- you choose. And their song stock is huge, since users upload music. I don't know how they get away with it, but they have for awhile now.
I haven't used last.fm in awhile. What's their draw over the others, like pandora?