I know a few:
For a station that'll play Sonic Youth and stuff (email a request!), try out
KEXP. They have excellent archived half-hour shows too, which comprise of interviews with a band and tracks played live in the studio. Need I say the Sonic Youth one is good?
If you like a bit of crazy hard DJ techno stylee, how about
Samurai fm of Tokyo?
For New Orleans jazz and blues, there's the one and only
WWOZ. A good bunch of people at this station, so check them out.
I've just put this on the shortwave radio thread, but here it is again: for serious spoken-word broadcasting from around the world, check out some of the stations at
World Radio Network 1.