English is widely used in the world. It has often been referred to as a "world language". If you would like to work or travel or have business around the world, you must realize - English is spoken as a first language by about 400 million, as a second language by around 1 billion. And it is the language most often studied as a foreign language in the world.
This is exposure to the language at it's best. You have a huge choice of stations to choose from which cover all interests. The advantages of listening to the radio to improve your English are many. Most standard stations will give you a mix of music and conversation. And because their objective is to play music - a lot - the conversation is often short and specific and so easier to understand.
You can listen to classical music stations where they tend to speak less but also more slowly. You can listen to stations that play mainly music with very little conversation. The advantage being that you get to listen to popular and up to date music in English without too much speaking - but you can listen to the news breaks and weather forecasts at least!
And don't forget about talk radio which covers specific topics and so context should not be a poroblem but it will, of course, be more difficult to follow - depending on your level.
The point here is not to sit in front of the radio with pen and paper in hand trying to 'study' English. This is not a lesson in English but rather another way to 'passively' expose yourself to the lingo.
So what should you do?
Put on an English language station when cooking and just let it play in the background. Listen in the car when driving to work. Listen to a classical music station when studying. Most importantly, make it a regular part of your day! Be consistent - it will get easier and easier...
Here are some useful links to get you started
BBC Radio - England
RTE Radio - Ireland
Internet Radio - America
You can also check out this list of radio stations streaming on the net in Europe.
UPDATE* If you don't have access to the internet when driving you can always download some Podcasts from the BBC and RTE websites and play them instead. You can also find many downloadable Podcasts just by doing a quick search on Google.
BBC Podcasts RTE Podcasts Google search: Podcasts