Ben Hammersley has just released an app called RadioPod, which lets you automatically grab RSS feeds listing streamed audio from the Internet, convert the streams to MP3, and synch them to your iPod.
I've cobbled together a server app, RadioPod, to record streaming radio stations, convert them to MP3s, and then provide an RSS 2.0 feed for a PodCasting application to download and then throw into iTunes ready for my iPod. I'm using it for The Today Programme off BBC Radio 4 every morning. It's jolly nice to walk the dogs and listen to James Naughtie.