Just had to say Launch.com is a pretty awesome service.
I pay something like $4 a month for membership to their "premium" service. That means you can listen to their high-quality radio stations with no ads AND you can skip songs as much as you want.
I usually seek out stations to listen to, but now I'm listening through Yahoo! Messenger.. I haven't had the time to figure out how to get to the station guide, so I just chose "My Station." It bases what it plays on what I had rated in the past on the other stations.
Proof the service rocks: It just played Denis Leary's "I'm an Asshole"! And earlier, a bit by Chris Rock. Now? Big & Rich's "Save a Horse (Ride a Cowboy)". Very, very worth the $4. :) Plus, its video service lets you watch all the Beyonce videos you want.