Spotify
Oh Spotify how i love thee! What is it? Well it's basically on online radio station where you get to choose the music. You download a small app then when you load it up you just search for what you want to listen to and away you go. You can also create and save playlists as well as share them with people.
Unfortunately though since it has got more popular the free version means you have to put up with adverts but it's still a handy piece of software.