I got fed up with radio as all they seem to do now-a-days is push agendas, therefore I just stick to podcasts now. For music though, Nokia Lumia Windows Phones have a really good pre-installed app called MixRadio. I came really, really close to deleting it because I thought it was just another useless app like Xbox Music. But, it's actually brilliant.
Basically you tell it what artists you like and it'll create a playlist of their songs for you. So it's pretty much like a radio, but you choose the artists you want (or type of music by categories/genre/etc.). You can either stream over Wi-Fi, or it'll let you download the playlist of tunes and play them offline for when you're out and about and don't have Wi-Fi (I think it automatically updates the offline playlists when you connect to Wi-Fi again). There're also pre-made mixes, so for example I quite often listen to the UK Top 40 mix, where I just select it and it'll create a playlist of current top 40 tunes.
It's free and there're no ads, news propaganda and other pointless dross, but the downside is you can only skip six tracks an hour (which is still six more than normal radio). With the paid subscription you can skip as many tracks as you like and I think the audio is higher quality.
There's a MixRadio Windows 8 store app, but like Xbox music it's useless as it only plays 30 seconds of songs. The app on the Nokia Lumia plays the complete tracks.
The stupid thing is Microsoft acquired MixRadio when they bought Nokia Devices and Services, but instead of keeping it and merging it with XBox music, they sold it to LINE corporation. Shame as I really like MixRadio, but dislike Xbox music. The full Nokia MixRadio app on the desktop would've been amazing. (On a side note, it's a shame Microsoft didn't buy Nokia Here Maps as well, then they could've merged Here maps/drive+/transit and the Microsoft Map app into one as well, because Here map apps are also better). In fact, they should have just employed the entire Nokia app developer team, as the Microsoft store app developers aren't very good.