Since the first Zauruses came on the scene, it's been possible to listen to streaming audio.
How well this works depends on a few things, but primarily it's the quality of the link from the Zaurus to the internet, both bandwidth/throughput and low latency/jitter.
With the 860 and faster processors, I have been able to listen to radio streams of 128kbps mp3, using wireless networking or usb networking.
There are many streams listed on www.shoutcast.com, simply save the .pls file and then open it in Kino2, or, read the file at the command shell and then open the stream using "mplayer", e.g. "mplayer mms://music.example.com/radio?xxx"
Here are some useful playlists:
[playlist] numberofentries=1 File1=http://184.108.40.206/classicfm?MSWMExt=.asf Title1=C1 Length1=-1