I know this is an old thread, but I'm going to reply. It might help someone else.
I wanted an AM/FM radio on my bike for listening to baseball games and sports talk radio, but I wasn't impressed with the small number of bike-specific products that I found (like the aforementioned Sunlite radio). I decided that what would probably work best for me would be a small pocket radio mounted somewhere on the bike. I ended up buying a Sony ICF-S10MK2 radio ($10) and an Arkon SM427 mount ($7.50). I haven't been able to ride with this yet, but it seems like it will work nicely. The mount is not made to be completely secure, but simple things could be used to make it more secure (rubber bands, elastic straps, etc.)