As the responses above suggest, an app that plays only the songs you request has to pay a considerably higher royalty for their content than one that plays a variety of songs. Therefore, such applications charge a considerably higher fee.
For example, Rhapsody offers a free (beta) app for the Droid. But you have to subscribe to Rhapsody to take advantage of access to individual songs (about $120 a year, I believe.) Another excellent application on the net is MOG. They, too, have announced plans to introduce an Android app, but again, you'll have to pay a subscription fee ($60 per year) to access their content.