The Internet Archive is a tremendous source of streaming music files (among other things) that play just fine on the iPhone. Here's how to set things up.
- Create a new bookmark folder in Mobile Safari. I named mine "Rock."
- Navigate to the Internet Archive, and find some music you'd like to listen to (I chose Smashing Pumpkins)
- The Flash player at the top of the page will not work, but scroll down to the botto and click either of the "Mp3" files
- A new page will open to play the file
- Click "Done" at the top of the page, then touch the menu bar
- Add a bookmark to the file to the "Rock" folder