If you want to be able to listen to actual broadcast local FM radio stations, then the iPod touch won't do it directly.
But if your favourite local radio station also has a web feed (many do), and if it also has an iOS app to let you tune in on an iOS device (some do, others may not), then you can use the iOS app to listen to the station wherever there's a WiFi connection. But you must have a WiFi connection for this to work. (Incidentally, this option would also allow you to listen to feeds from other far-away radio stations that do not broadcast locally.)
On the other hand, if you really need to be able to listen to local FM radio stations even when there is no WiFi connection, or if you need to listen to local stations which do not offer a web feed (or an iOS app to tune in to the web feed), then the iPod nano may be more to your liking. It, like your Sansa player, has a built-in FM tuner.
Additionally, there are 3rd-party accessories you can plug into the dock connector, which add FM tuner functionality to the iPod touch.