I'm an Rdio user and I've been trying Spotify today. I'm not thrilled with their music library. There are a bunch of bands that I love that Rdio doesn't have (Arcade Fire, Shins, Ramones, Pink Floyd, older Flogging Molly, newer Eisley, etc.). There are only a few albums that I really want that Rdio doesn't have, by contrast.
I feel like Spotify's UI is just a gray iTunes, whereas Rdio's UI is more in line with how I think about music. The search function in Spotify is really poor compared to Rdio.
Rdio blows away Spotify in terms of the discovery and social aspects. I really like the ability to follow people that have the same tastes as I do. I've found a bunch of new bands that way. With Spotify, you have to find friends on Facebook and Twitter. And no offense to my friends, but I think their taste in music sucks.
I'm sticking with Rdio.