It depends on what you mean by "radio." VictorBR's suggestion of myTuner is a good one for listening to regular "on air" radio stations, but it doesn't seem to do "internet-only" broadcasters, which is what I prefer.
You may not be aware that iTunes itself offers hundreds of radio stations (traditional and internet-only) for free. On the latest versions of iTunes, this can be found under "Internet" category (and there's also the free iTunes Radio of course, where you can create a customized "channel" based on your own tastes). On older versions of iTunes, you'd see a "Radio" category.
I also am fond of
Radium, a cheap menubar tuner. I can simply type in a genre of music or station I feel like listening to, and add it to my favourites. It's $10 for Mac, free for iOS 7, and syncs your favourites between them. Gorgeous looking, but also plays in the background flawlessly while you work.