1) You can't listen to your music when you dont have an active internet connection.
2) You're basically paying regularly/multiple times to hear the same music you could just pay for/download once.
I've been running a script to track my Pandora activity for almost eight years. According to it, my "collection" of music would cost me somewhere between $22,000 (iTunes) and $150,000 (CDs) if purchased, versus $300 or so for a Pandora subscription.
Yes, purchasing the music would let me play what I want when I want, even in the rare instances that my nearly-always-on Internet connection is down, but it's not worth a 75-fold increase in price.
(21,934 distinct tracks from 11,050 albums by approximately 6,596 artists, for a total of 190,330 tracks played.)