iheartradio is a GR8 app. I know there are others, but that as a good one depending on where you live. I got sick of radio so I took it off my phone, but with the iCloud if I ever have a hankering to put it back on my phone, I can do it.
It is a paid app, but has radio stations from all over the U.S. It does need an internet connection. I like this app because it has a record feature so you can record while on wifi and then listen later so you do not have to use 3G to listen to your recorded sessions.