There are several cool radio apps out there, but I am pretty impressed with Pandora. You set up an account or login to an existing account. If you set up a new one you have to go to the web page and enter a code that is displayed on the iphone. Not too hard.
Once you get into Pandora, you can create your own radio stations by giving them a song or artist that you like. They use what they are calling the music genome database to stream you music that you will like based on this pick.
I created them on the web, but they showed up on my iphone within seconds. Once I picked a station to listen to, it started to play the songs. On the iphone you have thumbs up and thumbs down icons that you can tap to let know Pandora know if you liked the song. They will then use this info to better refine the music they stream to you for that station.
It strikes me as strange that I can listen to music on my iphone that i havent downloaded and paid for. I could get used to this. Rather than constantly changing what I am syncing to my iphone, I can just listen to the stations.