Low tech:
I have a vintage am/fm tuner. I set up an old school style antenna and rotor on my place. It works great for FM. I got them from a place called solid signal.
I'm on Satellite and it has music channels just like cable. I have the audio from the sat box wired to my stereo for music and a home theater effect.
High tech:
I have an Apple Express which sends my iTunes/CD stuff to my stereo from my laptop wirelessly. With a program called Airfoil I can send other stuff like online streaming to the Airport Express as well.

Generally the only stations I stream are the Saturday morning fishing shows when I'm home because they're on am stations which don't come in well down here. I feel the future is going to be streaming. I think we'll see things like Roku, Apple TV, and others start streaming AM/FM and sat music stations along with their on demand stuff. Pandora is already their but like you I'd like to have local stations too.