I still have my favourite music on my phone, but I also like listening to Blinkbox Music sometimes:
1. it's free. no CC required.
2. you can mark your favourite 'stations' to be downloaded in the background
3. you only get an ad every 3 or 4 songs so not too bad.
I like that I find artists 'like what i like' that I've never heard of. I then might go and buy there stuff from somewhere.
As your stations are kept updated and downloaded, it works on the train from norfolk (i.e. pre-mobile network), and the underground fine.