Last.fm's application (the radio feature) is awful. It skips every 20 seconds because of bad mp3 decoding, and the bandwidth seems to be limited to 25k, which means it takes AGES to buffer (about 15 seconds to get going...which happens on every new song).
They've been working on a new version for a while, but nothing is out yet. See here:
http://www.last.fm/group/Pocket+Scrobbler
I also e-mailed Pandora about a windows mobile app, and they gave some lame, generic answer.