You can listen to streaming audio with out jailbreaking your iphone.
Download and install orb (
www.orb.com) on to your PC at home.
Use the internet radio favorites section at mycast.orb.com to bookmark all your favorite internet audio streams. The format does not mater. When you visit mycast.orb.com on your iPhone orb will detect you are using safari and convert the streams to mp3.
So far I am able to get all streams working, including XM and Sirius, except streams from clear channel stations. Clear Channel sets a token so you have to use there ad loaded player.
Most internet audio these days is embedded in to flash players so do not add the url to the player to mycast.orb it will not work. You will need a program like URL helper to find the url to the actual stream.