Just thought I'd share some thoughts after trying the full-blown Slacker for several weeks. Having won a 3 month subscription, I'm getting my "money's worth" out of it.

Between Live365 & Slacker, I've pretty much got what I need to enjoy some excellent music. Although Slacker tends to be limited to selections, rather than whole compositions, in the classical genre. But there's much more of the selections I'm familiar with in the jazz genre, all eras.
I also have a portable XM player & an online subscription.. I'm about to cancel the portable player & may eventually get rid of XM online, as well. Except the Chill channel still has some things I like, but I'm not hearing elsewhere.
There are a couple of other services that are interesting, but never came up in the discussion here.
Mundu Radio is free & has it's own player. The bit rate is lower than most of the other services. But, if you like to explore things you haven't necessarily heard a lot in music styles you like, it's a pretty good choice. It worked really well on my Cingular 8525 & my Treo Pro. The player apparently hasn't been updated to display well on the newer high rez screens.
There's a browser based service called PDATuner that I'm finding interesting. They claim to include somewhere in the neighborhood of 5,000 stations. It's basically a site that aggregates links to streams from broadcast stations all over the world & includes other things than just music. And they claim to verify the links on a weekly basis, so there aren't supposed to be any dead streams. There's, obviously, a wide range of variety, even within a given type of music. And, given that it's international, that alone can give you some interesting things you're not going to hear on your local stations.

The bit rate is lower than Slacker or live365 (more in the FM audio range), but the access fee was only $10 (lifetime) via Handmark, a little higher from other sources.