If you are fond of listening to online radio you can make use of SMPlayer. Fire up SMPlayer and navigate to Open ▸ URL… and paste the URL of the stream. If the URL doesn’t work you may need to provide the actual IP address and Port number. If you don’t know those search in the Xat radio search page towards the end of the page with Keywords.
A place to search for radio stations is SHOUTcast.
In case you are a cmdline addict, you can play the SHOUTcast playlist files using mplayer:
$ mplayer -playlist URL