The CREATIVE ZEN product set would be a good start. My Vision:M, her ZEN and their ZEN V Plus(es) can all record to MP3 (maybe WMA) off the FM Radio. The ZEN V PLus can also record from an external source, via a Line In.
I assume (cos your question wasn't clear) that you're talking about a portable player. For PC software, there are loads out there. I use Real Radio.