Over at ZuneRama there's a discussion about a partially implemented option to play internet radio through the software: http://zunerama.com/forum/index.php?topic=14577.0
Basically if you go into your registry (run, enter: regedit) then go to HKEY_CURRENT_USER -> Software -> Microsoft -> Zune -> Shell -> StartupPage then right-click/modify and change the value data to Collection\Radio it will show the radio page the next time you start the software. There are a few radio stations that work!
Hopefully the next software update fully implements this. I've always hated having to use a different media player just to play internet radio.