Good news for those who reside in Denmark, Norway or Sweden, WiMP is available for Windows Phone and will allow you to stream music for a subscription fee - similar to Zune. Offline listening is available too, just in case you find yourself with little-to-no network connectivity. Signing up to the service will earn you a 30 days free trial to test WiMP out on your phone. Should you not be able to get Zune, this will be a worthy alternative.
You can download WiMP from the Marketplace for free, accompanied by a free 30 day trial.