Just found an interesting app on Digital spy. It's available on the Apple App store..
It's called "fstream" and it allows you to stream Ogg, WMAs and MP3s from online radio stations. Or, any streaming source. It also apparently allows you to record the audio as either WAV or AIFF, and can be controlled remotely via the web.
You can get a list of radio feeds (for this and other apps) from
http://www.radiofeeds.co.uk/indiv.asp