glupson,
Nothing sounds better than a song you like played on a middle wave radio
with short wave coming close second, depending on reception quality.
There is something to it. It moves.
There is a sense in which I agree.
Though I would add listening to music on FM radio to that mix.
First, for me and many, listening to the radio happens most often while driving, and driving/listening to music seems to be a perfect mix of activities - one seems to elevate the other.
Other reasons that I like hearing a song I love on the radio are:
1. There is an element of surprise, luck.  It's not like these days where anyone can play DJ and dial up whatever song she wants. If the radio is your medium, you have to rely on whatever the station plays and when a song comes up that you like there is that added joy of fortuitousness "I love this song!" *turns up radio.*
2. The shared listening aspect. There is first of all something more "live" about a song played on the radio insofar as it's a stream "happening out there" that you are just grabbing, which is happening "out there" external to your own ability to control it.  And that this stream is being accessed at the same time by some other portion of the public. I don't need to see everyone else in their cars (or wherever) listening; simply the nature of the medium and the knowledge that it's a shared public experience gives radio listening a bit of "life energy/social weight" that just playing a CD, or dialing up your own playlist, doesn't quite have.
Not that everyone does or should feel the same, but that's how I experience listening to the radio.  (Which is a lot less fun these days given I care less and less for popular music).