Lots of Myspace band pages offer little Flash-based widgets that will play music for you, but without Flash, MobileSafari won't let you at them. But with a web application like file2HD, getting at those music files is easy-- plug in the Myspace URL, choose Audio, agree to the Terms of Service, and boom, you get a list of URLs, that, like any other Quicktime-playable media online, will stream directly into the iPod's music player.
There is, of course, a catch. According to the Terms of Service for file2HD (or any other service like it, I'd imagine), you can only access your own pages. Myspace, obviously, wants you visiting their page to hear that music. Listening to it on your iPhone will definitely violate the ToS that you agree to. Not that anyone should care-- most bands put this music on their Myspace page to promote themselves, and so it's likely that they want you listening to the music no matter how you hear it. So as long as you can justify your way past that little conundrum, you're home free. Listen on (at least until the iTMS WiFi store lets you get music cleanly and legally from wherever you are).