Radio is available on the 'full blown' iPlayer now but unfortunately because the BBC use realplayer as their broadcast standard for radio it's not available on iPhone ..... sadly
Not Radio but....
Go to www.bbc.co.uk/radio/podcasts/ip#_home on your iphone and you can stream bbc podcasts directly to your iphone. Works brilliantly.
If it's on shoutcast, you can use FlyCast. You can run it in the background so you can use other apps & it has a web browser built into it. It's free in the app store.
Try the FStream App, it's free and I managed to get Radio 2 to work. Needs Wifi though.
Check out BBC Radio iPhone Streams
Cheers
GP
FStream will work over 3G