SceneSat works in a phone too.
I just noticed my new cellphone has a built-in support for net radios. This is quite nice, I now have the SceneSat stream with me wherever I go. http://www.phnet.fi/public/juhgu/s/iloinen.gif
...but I could've thought of this much earlier, of course. There are plenty of free net radio software for smartphones (here's a link for Nokia phones, for example).
As long as you have a fixed data plan(!) and a pair of portable headphones, it should work just nicely. Don't have to drag that mp3 player along anymore when going for a walk or something. http://www.phnet.fi/public/juhgu/s/hih.gif Me likes.