I always have been a huge fan of Screamer Radio and still cannot recommend it enough! There are a couple of other ways as well if you prefer that.
One is the new open source application called Songbird which is my choice for listening to Music. Songbird is from the same guys who wrote Firefox and the quality is pretty good. I particularly like the Lyrics add-on which displays lyrics of the song you are listening to. Another add-on can scrobble to Last.fm.
Another option is to use RadioBeta which uses Ajax and you need to have that window open in your browser. The search option is cool and it allows you to search for radios and themes that you otherwise won’t probably think of. One of the stations I like listening to is “All California Rock”. I think there is a lot of scope of improvement – maybe they should create an add-in for Songbird and allow on to view lyrics, etc.