8bit FM is a nice streaming online radio station that is devoted to chiptune music and classic game soundtracks.
I'd rather do what I do now and just get all the game soundtracks (usually in their native formats whether AY, MOD, SID, NSF) and listen to whichever ones I like on Winamp with the required plugins. Last time I tried listening to a retro game radio station it was often too focused on stuff I hated and also a lot of bland remixes that sucked the life and genius out of some of the classic chiptunes.
Sorry guys. It worked when I added this news item 
maybe it'll be fixed soon.
Nectarine is a similar (but actually working, streaming) radio station.
Based around the demoscene and older systems you won't hear a lot of mario/zelda but more C64 covers and original chiptunes. Currently playing: a song with soundbites of doom and wolfenstein3D.
Seems the stream itself is down. Either that or their IP changed and they haven't updated the playlist links yet.
Tried it on all 4 reccomended programs "service unavailable."
Damn. I'm getting service unavailable from WinAmp :( [2]
Is there something else we could do to listen?
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I <3 the dancing girl.
Woo! You used my pixel
Also you might want to listen to slay radio http://www.slayradio.org/home.php
It's remixes of C64 tunes and most can be downloaded from http://remix.kwed.org/