Growl is a notification system for your Mac desktop, which is supported by many applications including PandoraJam.  You can find out more here: http://growl.info/

Where can I download Growl?
http://growl.info/downloads

Is Growl free?
Versions upto 1.2.2 were free, but apparently do not support Lion.
Versions from 1.3 onwards do supports Lion, but costs $1.99 from the MacAppStore.
Note that the source code for Growl is available, so if you are comfortable with XCode, you can build Growl 1.3 for free.

Is there a free version of Growl 1.2.2 which does work on Lion?
Yes, a developer has patched 1.2.2 and it should work on Lion. You can download Growl for free from:
https://bitbucket.org/pmetzger/growl/downloads
The latest version as of Nov 9, 2011 is:
https://bitbucket.org/pmetzger/growl/downloads/Growl-1.2.2f1.dmg