I've been trying for a while to use my phone as an internet radio listening device on my home WiFi network. Success has been mixed.
The main problem is that many sites implement their own interfaces in Java or Flash and these don't seem to work in the Nokia Browser. There are also many types of links, and the only ones that seem to work are ones ending in .ram. .ram streaming audio links are hard to find, but I've found a few and listed them here:
http://robfisher.net/wiki/wikka.php?wakka=NokiaN80Radio
Another problem is that RealPlayer often doesn't want to connect. Setting its default connection to your WiFi connection helps, but doesn't always work. I regularly get "server timed out" messages. YMMV.
I also found, via an AAS article, this Shoutcast client, which works really well. In fact, since finding this I've pretty much given up on the RealPlayer:
http://opensource.nokia.com/projects/s60internetradio/ClientPage.html
Once this is installed, you can go here:
http://www.shoutcast.com
I made it work by saving the .pls files from that site and copying them onto my phone into the \Shoutcast folder.
One last tip: make *sure* you're connecting via WiFi and not 3G, or you may get a very big bill.
Enjoy!