There are a few options for OZ:
Opie - opie-mediaplayer2 has a xine backend and should be able to do streaming according to the Opie wiki (you'll need to install extra ipks though), there's also mplayer - I'm not sure what that can do, and vlc (there's the static binary around, or it might be in OE in fact).
GPE - gxine is probably your best bet, it has lots of options for streaming stuff, but I never tried any of it.
I'm afraid I've no idea what icecast is, but you should be able to get it to work, and if it won't, I/we're willing (and happy dare I say ) to help you get it sorted.
Si