While the Last.fm passwords have yet to turn up on any web site, they take privacy very seriously and are recommending immediate action.
Remember when changing your password you need a strong one - ideally containing combinations of lower/upper case letters, numbers and characters. Use Deadbolt Password Generator to turn your memorable phrases into strong passwords to make them easier to remember.
Strong passwords will keep you safe from hash dictionary attacks which users of LinkedIn were recently left vulnerable for, but as always, never reveal your passwords to anyone, and never write them down.