It's now a mainstream activity to listen to streaming radio stations. Not only can you listen on connected laptops, and on many specialty gadgets, but with applications like Pocket Tunes they are available to pda users with wifi or wireless network connections.
At the Mobile Stream Center
you'll find "a slimmed down version of The Stream Center for your Pocket PC, Palm, or other Handheld PDA. Here, you will find all your favourite US radio stations webcasting on RealOne Player, Windows Media Player, Streaming mp3 and Other formats listed by US state."
You can also search for stations by either station name or callsign.
One downside I've noticed about streaming radio, however... if you have a favorite sports team you're hoping to follow, you may find the game coverage blocked out on the streaming feed due to contractual obligations.