I follow artists I like as a way of adding them to my library and "like" particular songs if I want them more accessible without having to go to the artist page. This is the way I listen to what I want (along with occasionally making playlists).

I actually really enjoy the ability to effortlessly discover new music I never would have found otherwise that Spotify gives. The recommendation algorithm can be weird at times, but I hear liberal use of likes and dislikes helps though YMMV.

As an aside, everyone else I've seen using Spotify tends to strictly build playlists and not really follow any artists. Not really sure what to make of that.