Spotify - listen to any song in their huge library on the desktop. Awesome when you know exactly what you want to listen to. Their playlists are pretty decent. Mobile not so great unless you are a paying customer.

Amazon - not a very big library, but listen to any song you want and even store it locally for offline listening. Not a big fan of their playlists.

Pandora - By far the best for discovering new music or re-discovering songs you've forgotten about. The others don't do this even close to what Pandora does.

So, like I said, I use all three depending on what I'm wanting at the moment.