The only thing I could think of is that Rdio or any ad-network is sharing information with a 3rd party and that 3rd party pushing the info to Spotify. The other way is through your social network like activity. Did you "like" the band on Rdio?
I didn't "like" the band, I just listened to their stuff normally. Since Spotify runs natively, I wonder if they have a way to access browser information
