That's pretty much been my argument for Satellite radio also. I have a huge collection of music on my computer and I can say, that for the most part, the selection I found on Xbox/Zune/Amazon/iTunes, et al., have nothing I am missing. I converted or have found digital copies of every album, tape I have ever owned and wanted to listen to. I have nearly 1 terabyte HD on my computer that is loaded with my music collection and there's probably a pretty good bit of it not available in the online stores. Try finding David and David's: Welcome to the Boom Town at any of the online stores.
I'll load a few files onto my phone through Zune but I can't see loading up my skydrive account since I am 3G and the ability to stream really isn't good enough for listening.