I like Spotify better because then you can sample an entire album rather than single tracks. Sometimes those single tracks are very odd choices. I'll have to try the radio function, but I wouldn't be able to compare it to Pandora or iTunes. I have Pandora, but I haven't used it in ages. The last time I used it (over 2 years ago at this point, I think), they made me listen to some really obscure shit, and I couldn't be bothered to try and make a new station.
Ian, don't feel bad -- artists get hardly anything from Spotify, so if you bought something based on hearing it, you are doing exactly as they hope you would. My only problem is in between artists -- there are artists that I have everything I want by them (e.g. Pineapple Thief), and there are artists I'm just discovering (TesseracT, Periphery, *Shels, etc.) that I have nothing by, but then I get to A Storm of Light, and I know I have And We Wept the Black Ocean Within, but I don't know if I have anything else by them.