I listen mostly to podcasts these days, being far more entertaining than anything on the radio.
I listen to the daily source code with Adam Curry, this week in tech hosted by American technology broadcaster Leo Lapporte and BBC radio 4's 'the now show' when it's available (usually after it has been broadcast on a friday night - when the series is running).
If you have itunes it's simply a matter of going to the store and clicking on the 'podcast' section, there's loads to choose from, although you don't need itunes necessarily, you can find other podcast aggregators, most podcasters have their own web page that you can go to and download the podcast without ever using itunes.
A good example is www . twit . tv, there you can download all the podcasts from Leo Lapportes twit network, although he calls podcasts 'netcasts' in reaction to apple taking legal action against some websites using the word 'pod' in their url, or as part of their product or service..