http://www.pandora.com/
Someone clued me into this last week and it's kinda cool. SO far I'm impressed with the music it can pull up, but no frigtmare or bloodfreak, so it's not perfect (you may not find bands on smaller labels).
Has something to do with something called a music genome project, whatever the fuck that is. Anyway might make a nice radio alternative for some.
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last.fm for everyone else! You can't save stations but you can make yourself a playlist
Maybe it depends on the genre
If you don't like a song you can thumb it down and it'll skip it and the whole "setlist" (it feeds songs to you 4 at a time in related "setlists") and get a new one.
I've been listening to it for months, still find new music, and love the hell out of it. I don't listen to the regular radio much, and the other internet radio stations I used to listen to have either folded or just play the same shit over and over again, most of which I had already rolled into my collection at home.