Spotify is like a desktop client. It looks almost like iTunes. You have access to a lot of music for "free" (I believe you get a free 6 months when you connect with FB). The artists receive money for all the songs you play. I love it because I used to listen to a lot of my music via youtube. I also like that I can scrobble to last.fm with it.
Spotify.com is the website I believe! You can also get it on your phone. And it has a radio option like Pandora.