Okay, technically this isn't in 'town' as such, but we'll overlook that for our purposes...
the best local radio station is in New Jersey. In fact, outside of a classical station I like once in a while, NYC has total bullshit for radio. I don't understand it. Nobody understands this. It simply doesn't make sense.
Regardless, the station is 91.1 WFMU, broadcasting from Jersey City. a lot of folks on the east side and into Brooklyn and Queens can't receive it from the interferance of buildings and radars and that sinsiter juju in the air.
For them, there is hope: http://www.wfmu.org/ has availible stream via RealAudio, (which is a slight compromise IMHO, real does a bit of piggybacked advertising, I think), or through Windows Media Player. It sounds great when you send the channel through your receiver.
What really knocks me out is, if you don't like what's on the live webcast, you can listen to archived shows up to two weeks after it's been aired.
Their website is really comprehensive, exceptionally detailed and navigatable. These folks are outstanding, and have some pretty excellent taste. I mean, hell if I know,...maybe most folks here actually like to listen to dance music outside of clubs...