For some reason, most Windows Mobile devices do not have FM radio feature. Also, the choice of FM radio stations is often limited.
Mundu Radio is a freeware WinMo (and Symbian/PalmOS) application that allows you to stream internet radio stations on your WinMo in a quick and intuitive way.
Mundu Radio allows you access to about 50 pre-defined Digital Radio stations across different genres. You also have access to thousands of Internet Radio stations that are currently available. All you need is the URL to your favorite radio stations streaming in MP3 format and at a bit-rate suitable to your current Internet connection.
You can also create your personal play list. The next version of the application will also provide you with data transfer statistics so that you can keep a check on your data usage.
Mundu Radio works on all WinMo devices with Windows Mobile 5.0 and above. You can download the application (note that there are different installers for Smartphone and PocketPCs) from here.