One of the really cool things we can do in SL is play streaming media. If you have land in SL, then you have the option to set the parcel media to your favorite online station. Torley Linden has a great video on this here.
There are many websites available that give you the ability to "snag" the url and paste it into the media tab of your "About Land".
If you can play it in the Winamp Media Player, then you should be able to copy the url from File - Bookmark - Edit after you have added the station to your Media Library.
Here are a few sites that work very easily with Winamp: Shoutcast.com, Sky.fm, Di.fm, and the Icecast Directory (use the M3U format link).