There are a few widgets that do radio, you'll need the realplayer plugins though I think.
<a class="postlink" href="http://www.apple.com/uk/downloads/dashboard/" onclick="window.open(this.href);return false;">http://www.apple.com/uk/downloads/dashboard/</a>
Click on 'radio & podcasts' on the menu and you'll be presented with a selection of widgets.
I use the Unofficial BBC one, as it does everything in one handy little desktop box.