UPDATE: WFMU

IMPORTANT: I should've added you've got to listen to the Ichiban Rock n Soul feed.

This is the greatest 'radio' station in the world, as far as I'm concerned. WFMU is internet radio, I listen through iTunes on my laptop when it's connected to the internet, but there might be other ways of listening. When I tune in there is rarely ever a DJ, just a continuous flow of amazing records.
If you like Killer Diller and its mix of garage punk, weird country, jungle exotica, northern soul, southern soul, vegas stomp, surf instrumentals and rockabilly, you will love WFMU.
To quote their website 'Our music doesn't fall through the cracks, it IS the cracks.' G

Sideburn's Windows user, Mick P, adds: I use VLC Media Player, which is free, multi-platform and can cope with almost anything it encounters. I never bother with Windows Media Fiasco. Here's the link for Ichiban Rock n Soul. Right click and  'Copy Link Address'. Open VLC, go to Media/Open Network Stream (or just hit Ctrl+N) and paste in the link. Now frug, shag, or do the mashed potato as appropriate. Other dances are available.