My wonderful husband got me an iPhone for our anniversary last month and I totally love it. Everything about it rocks. While browsing the app store I discovered the Last.FM app for listening to www.Last.fm internet radio on your iPhone. I'm so glad I did because it's totally cool. The app does sometimes buffer between songs or in the middle of a song, but it doesn't last to long usually and I prefer some downtime over commercials. It lets me listen to my favorite artists anywhere. I especially love listening in the car because there are no ads, just music. You can listen to radio stations based on a particular artist to discover new music. I love the Snow Patrol radio. You can also listen to tags. I like the Pop tag because it lets me hear a lot of the new stuff on the radio I might not otherwise hear.
One cool thing about the website is the Charts feature for each user. I think it's so cool to be able to see the artists, albums and tracks I've been listening to, and when. You can also link your account with your music player on your computer (iTunes, Windows Media Player) so it will track that info and display it on your user page. Last.fm will also recommend new artists to you based on the artists in your library, and do a good job. I usually like what they recommend.
You can't listen to every song by every single artist because the artists and record lables control what gets put up and they don't always put everything up. But they have a ton of music from practically every musical genre and it's totally worth checking out.
RD