Spotify Connect lets you control playback across your devices, and easily switch which device you're listening on. It's an enormously convenient feature. You can play music from your TV and control it with your phone. Or you can listen on your computer, but if you're getting ready to walk away, you can switch to your phone.
It would make Pandora an even more effective competitor if it had something similar.
More details here.
Moderator Edit: Changing title for clarity
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