My absolute favorite:
Radio Paradise
Listener supported, electic, intelligent online radio. Mainly focusing on rock and folk, with touches of jazz, blues and classical thrown in. If you have a song you think that should be played on the station, you can upload it for consideration.
No commercials (other than promos for the station) and run by a DJ who truly cares about the music. RP has a highly intuitive website that allows you to follow the playlist (so you never have to wonder, "hey what's that song?), gives you links where you can purchase the song, and the best part - each song has its own thread on a bulletin board where you can rate the song from 1-10 and post comments on it.