In general we use any player like Rhythombx or Clementine to play a radio streaming url.
To play a radio streaming url from command line we can also use mplayer which is one the favourite player of command line users.
To play any radio streaming url use following syntax:
$ mplayer -nolirc <radios_streaming_url>
Here is one example which will play Virgin Radio Dubai from command line with mplayer:
$ mplayer -nolirc http://5253.live.streamtheworld.com/VIRGINRADIO_DUBAIAAC