You can connect up the headphone socket on a radio or other device with a fairly high output and record
Most microphones need a pre-amp, you can get away with plugging a guitar straight in, but you get loads of noise, again a pre-amp works best. Or better yet, a dedicated device connected via USB or Firewire almost always give a far better sound.
I use the line-in on my iMac so i have all the sound from the iMac and my PC going through 1 set of headphones, I use an app called LineIn to allow this