This is one of the best online radio players I have used and its free which makes it better
Slacker is a free personalized radio service featuring over
100 expert-programmed genre stations and the ability to create
your own perfect stations. To get started, pick your favorite
type of music or search for your favorite artist or song.
They also have this cool music player that you can load with songs of your choice from the website and it saves the stations to the player you can check here if you want more info on the player.