I enjoy Internet radio through Amarok. Instead of picking songs off the web, cds, etc. a playlist will be sent to you and the music streamed to your computer.
To use Amarok to listen to Internet radio simply open Ameriok. Alt+F2 then type amarok. (or in the menus under Multimedia->Audio Player->Amarok or just Multimedia->Amarok) After Amarok loads select Playlists from the left tabs, then drop down Radio Streams.
You can add your own or look at the Cool-Streams that come with Amarok. Simply select one of the streams by double clicking it. The playlist will download and then you can choose one of the streams to listen to.