Heratech

Update: Better method: http://www.3spoken.co.uk/2009/08/making-wine-sound-work-with-pulseaudio....

If you are having problems with Spotify under wine in Ubuntu check here and here.
Instructions if link is down:
padsp winecfg
Go to the Audio tab and set the OSS device.
Edit your spotify link on your desktop to point to padsp env WINEPREFIX="~/.wine" wine "C:\Program Files\Spotify\spotify.exe (right click it and select properties).