Bill Serasidis posted in his website a really nice arduino webradio circuit, which actually connects to winamp.com for fetching the data and decodes the stream through a vs1053b module. From the schematic I can see that is not too complicate to build and I really like the way he put parts together.

The parts list:

1. Arduino pro mini
2. ENC28J60 ethernet module
3. VS1053B sound module for decoding
4. Nokia lcd
5. Simple switch for station selection

So why not transforming that old boombox you still have in the closet? Have a look here