$20 for a streaming app? That's one of the most expensive apps on iTunes. Eek. C'mon there have to be other alternatives.
Well, if you're going to complain about the price then I may as well tell you how hard it is to setup too (for some people)! (it's not in the appstore either), it's a server that runs on your home computer and streams your music, movies, pictures (soon), etc. to your iPhone or any internet enabled computer. It's kinda like orb (except it runs on mac, linux, and windows, doesn't do live video and is made by one guy instead of lots... oh, and it's $20!
It has some advantages though, namely, since you can listen in Safari, you can put it in the background and go check your email, or play a game, while it plays, without jailbreaking, and it'll play just about any format stream, real audio, windows media, etc. So, yeah, that's the deal. If I was independently wealthy or didn't have a family to take care of, I'd probably do it for free... I mostly wrote it for myself.