Despite going digital, music remains oddly attached to the devices used to buy it. Sony hopes to change that with the advent of Music Unlimited, a service that can stream your music to a variety of devices including the PS3.
Here's a quick look at Qriocity's Music Unlimited on the PlayStation 3. The music is pulled from your own collection, which is streamed to a cloud, allowing your to access it in a plethora of places with the service. On the PlayStation 3 you can even rate the songs and search for similar music.
One thing you can't do, at least yet, is listen to the music as you play a game.