If you're familiar with fixing your TV's reception, you'll be a natural with an FM radio. FM reception is affected by the same things that affect television signal reception--the quality of your antenna, the strength of the signal you're trying to receive, and any obstacles between your antenna and the transmitter.
If you don't have an antenna connected to your FM receiver, purchase a simple dipole antenna--a simple T-shape flexible wire-- and connect it to the FM antenna inputs on the receiver. Because FM signals are directional, you'll want to experiment with the positioning of the wire to find the best reception of the station you're trying to receive.
If you're still not getting a good signal, try an indoor amplified antenna, which you'll find at an electronics store. Don't buy one unless you get a guarantee that you can return it for full credit if it doesn't solve your reception problems.
If your signal is weak because you live a long way from the transmitter, install an outside antenna and mount it as high as is practical. If you're primarily interested in getting signals from one station or from a group of stations in one direction, get a directional antenna and point it toward the transmitters.
If you're using a portable FM radio where the only antenna is the power cord, stretch the cord as straight as possible and experiment with positioning again.
Temporarily switch to monaural mode to improve a weak signal on an FM receiver.
Some cable companies offer FM reception as an option. It's also possible to buy an antenna that will work for both television and FM reception if you don't have cable. Many FM stations now make their programming available over the Internet--a cool way to receive stations that might not even be in the same state as you.