I use 8tracks on my phone simply because there are no commercials and the playlists people create are interesting; however, Spotify is definitely a good option. SoundCloud is also great to discover unknown tracks by popular artists (deadmau5 has great content on his Soundcloud page). It is interesting to see the age of local media files slowly fade away in favor of cloud-based media.
Xbox Music for songs that are available there ($12 a month to download/listen to any number of songs on my laptop, Surface RT, Windows Phone, and Xbox 360). Otherwise, YouTube.