Click 'Radio' in the left hand column of iTunes. It splits stations up into drop-down categories. You can choose to sort them by 'Bit Rate' by clicking the heading at the top, as many stations will have higher quality (112kbps and above) and lower quality (96kbps and below) versions.
You can build up a playlist of your favourite radio stations by dragging them into a playlist on the left-hand side of iTunes (click the + button in the bottom right of iTunes to create a playlist).