In case you haven’t already discovered it, Spotify is the best thing since Amazon MP3.

The downsides:
Occasional adverts, but nowhere near as frequent or annoying as any radio station I’ve ever heard. (I usually wake up to Radio 1, which obviously doesn’t have adverts, but A LOT of talking between songs).
Streaming rather than downloading means I can’t listen on my iPod.
The upsides:
Unlike radio, you get to choose every song.
You get to hear whole songs for free.
So I can listen to whole albums, not just 30-second previews of songs, before I buy. (YouTube is also useful for this, but a pain for listening to more than one song at a time/making playlists)
So I can listen to all the albums I’m not sure if I want to spend money on yet. (So far these have included albums by Fleet Foxes, Maccabees, Parliament, Graham Coxon, Relient K, Polly Scattergood, Damien Rice, Empire Of The Sun, Adele, and John Frusciante.)
Then there’s the ones I can’t quite bring myself to actually own (like Kate Voegele, Taylor Swift, McFly, Kelly Clarkson and Christina Aguilera).