I used to listen to JAR and Kawaii back in the day (e.g. 2003), but the process was significantly hampered by the lack of receiver. Now that I obtained a (used) PSP, I decided to give it another shot.
It turns out that while on paper PSP is next to an ideal device, the software sucks enormously. The player(s) are plugins into the PSP browser, and what's worse, they pull a big chunk of the player code from a remote server. If that server is slow, you cannot listen even if the radio station is up. Secondly, there is no way to connect to streams that are not listed at one of the approved directory services (e.g. Shoutcast). Therefore, no seyuu shows from Japan. And of course, the player is skinned and massively buggy. But since the monopoly players exist, there's no market for anything better. Or I cannot find it, which is the same thing. So, suck all around.
So close. Stupid Sony.
UPDATE 2010/01/23: Found a better player.