Pandora I prefer for when I want to discover new music, as the radio service is great. Spotify's "radio" is pretty rubbish; however, for general use, Spotify is much better since it lets you listen to whatever you want whenever you want and you dont have to worry about limited "skips".
That said, neither have very good sound quality. I'm a bit of an audio snob, and while I can't hear the difference out of something like laptop speakers, from my headphones or main speakers, you really can hear the artifacts at 128kbps... but it's free so you can't complain too much. I do not like Rdio at all -- it was my preferred service before they updated to the slow, ugly new interface and of the three, it was by far the worst sound quality. It's borderline unlistenable and some songs have to be as low as 64kbps. Just inexcusable and unenjoyable.