The audioapp example shows live streaming of NPR. I modified that and added some other stations like KCRW, KROQ, CBC, Indie 103, etc.
I used URLSnooper2 to get the stream's URL. Sometimes those were in the form of playlists like (eg. www,kroq.com/streaming/live.pls) (that's made up).
I imagine I could open that with a text editor, but I'd just double click on it in URLSnooper and it'd launch in iTunes -- then I'd grab the true URL.
The only issue I ever had was that sometime it would take a good 10 seconds before the audio would start playing.
ETA: I only added streams that were in compatible formats. Some station stream through flash.