Subscription Music Services
I've been a Rhapsody subscriber off and on for a for 6 or 7 years. Anything you want play but you need to pick the music. I really like the availability of music and the web and mobile interfaces, but the social aspects are somewhat lacking and their recommendation engine is not good . Unfortunately they've done away with their free aspects and it's subscription only, $15 / month.
Spotify - Seems a lot like Rhapsody, but still has free offerings. I subscribed to the premium service to get mobile access and Last.fm scrobbling. It is a little more forward looking in regards to social aspects of music than Rhapsody. The best thing about Spotify is that other people are using it and we can share playlists
One of the things that makes both of the services big winners for me is Apple's AirPlay. Being able to select music from my phone or iPad and throw it to my stereo is really cool, future tech kind of stuff.
Good write-up of subscription services on Auxiliary Memory Blog
Recommendation Engines
Last.fm - I really like Last.fm in concept. I like the idea of keeping statistics on what I'm listening to, but I'm kind of a geek that way. My profile shows all kinds of numbers over what I've been listening to. This is really what I'm looking for from the social aspects of Spotify. It would be cool if more people were using Last.fm. I think a subscription is required to listen to the radio stations on mobile.
Pandora - I don't use Pandora all that much. I used to think it was kind of lousy at what it did, but I got into a lot earlier this year. I think the algorithm had gotten much better. I think if you really worked on tuning your stations, it could be great. Also, Pandora has a lot of integrated clients: blu-ray players, TV's, game consoles
Turntable.fm - This is pretty cool. I love the idea of playing music with friends of long distances. I can just listen in to a public room ( I haven't DJ'ed in a public forum) or I can set up a private room for those with the URL (e.g. PW @ Work). I'm not using it a whole lot, but I like the idea of simultaneous gatherings on separate coasts with the same soundtrack.
My default recommendation engine is Pitchfork's Best New Albums. They are a little persnickety, and they like Kanye way too much, but in general if they say they like something, I tend to like it as well.