I have an App on my phone which converts it into an Internet radio via wifi. You can listen to some pretty wierd (particularly USA) stations but I still think an FM reciever is more practical.
I have a Sony one that picks up fine but only stations that subscribe to Sony's partners, so no BBC stations or many uk stations but absolute and Luxembourg are fine
Please be aware that lots of radio stations, including BBC ones can be listened to on a computer over the internet (hard wired or WiFi) simply by logging onto the relevant IP address and no particular commercial radio software/application is needed as such - everything you need is available for free and together with a standard on-board sound card you can have your audio stream (compare iPlayer, etc.). This is how I listen to UK stations when abroad (usually WiFi on my laptop).