Mobile Hotspot most of the time with this app.
You can create your own mixes based on a selection of your favorite artists, or you can select from over 100 music channels based on genre (from hip hop to indie to jazz), featured mixes (like music for Valentine's Day or Grammys 2013), and even artists' recommendations (you'd be surprised about what Lady Gaga listens to). If you hear something you really like, you can easily jump to the Nokia Music Store to purchase the tracks. There's also a really cool feature called Gig Finder, where you can find shows and tour dates of artists you like, or just what's going on around you locally.
If you've recently taken advantage of the Nokia Lumia 920 BOGO Sale, an exclusive promotion at Car-Tel Communications AT&T retailers, then you should definitely check out Nokia Music (especially the Dance/Electronic Charts mix - it's my favorite at the moment).