Tbromgard: All of the Internet stations I listen to today are free. Yes, the stations I mentioned above require a paid subscription BUT it is not required or needed.
I have access to thousands of FREE stations on the Internet including FM stations. In my case, my FM reception in my area is horrible so I listen to KDFC (San Francisco) and WFMT (Chicago classical referenced above) on the Internet for free. I have been able to listen to every single FM station I wanted using my Internet tuner. The sound quality is excellent and I have no reception problems.
I think the question is can you receive the FM stations to listen to on FM. If you cannot, Internet radio is an excellent choice at no cost (except for the hardware).
The main advantage of using Internet radio is that if someone mentions a great station in Chicago (like Richardfinegold did above), I can immediately tune it in and listen. I am also listening to Internet stations from Europe and Asia at no charge. Another advantage is that Internet radio allows you to select stations by Country or music type (Classical, jazz, blues, etc).