I went ahead and created an account with last.fm because it was a familiar site. It's a cool site with tons of music and I especially like the social aspect of the site.
One site that I've gone to for years that wasn't mentioned is Live365.com - it has internet radio stations from all over the world. You want an Americana station? Music from Slovakia? Texas Polka? They've got it. It's free if you listen to some advertising or you can pay for VIP status. You can even start your own internet radio station.