Depends on what you're after. Personally I like Pandora. You can create 'stations' based on songs you know and love and Pandora will play other stuff it thinks you might like based on that track. It surprises me how much it finds that I do like, but have never heard.
Last.fm frustrates me (usually because I'm looking for more info about an obscure performer or track and they have such a wide coverage that they always turn up in a google search - with no reliable information about artist country or date of recording.
Have had almost nothing to do with spotify.
Streaming services can be problematic here because bandwidth costs so much more in Australia than in the USA.