WunderRadio might help you out. It has bajillions of radio stations from all over the world, even from countries that you didn't even think had lectricity, much less radio stations.
Exactly. For the last two years the iPhone was a nogo for me, just because of the lacking fm radio. A stream consumes a lot of data volume, and there is no cheap flatrate in Austria!
Anyway, I'll get the iPhone 4 now, and I hope that Apple unlocks the FM function soon. Otherwise I'll look for compatible headphones with built-in tuner ... hey, do you guys know of something like that?