A smart phone can do a lot more than just send and receive telephone calls. You can also listen to things like music and watch videos on most modern day devices. If you want to listen to the radio on your smart phone, you have a few options. You can either use the built-in FM tuner (if applicable), or use the Internet connection to listen to one of the countless Internet radio stations in existence.
Check to see whether or not your phone has a built in FM tuner. This information will be listed in the phone's instructions manual as well as on the "Features" listing of the box it came in. If it does, you can listen to the radio on your phone by launching the "Radio" application.
Launch your phone's web browsing application.
Go to an Internet radio service, like SHOUTcast or Pandora (see References). These services allow you to quickly search for Internet radio stations based on your preferences. You can search for artist names, genre, or even topics. The Internet radio station will then immediately begin to play on your phone, using your web browser and Internet connection. These services are completely free.