Streamripper is a free open source audio recorder which can record audio streams from online services such as Shoutcast and Icecast, etc and save them as MP3 files on your hard disk.
The basic software will work seamlessly with the free WinAmp player, but you can also download any of a selection of free and commercial front end user interfaces, like StationRipper, SimpleRipper and Streamtastic for your listening enjoyment. Note that the commercial version of StationRipper has support for recording iTunes Radio, LastFM and Pandora streams. Neat!
Streamripper allows you to download an entire station of music. Many of these mp3 radio stations only play certain genres, so you can now download an entire collection of goa/trance music, an entire collection of jazz, punk rock, whatever you want.