Late last year they added MLB Gameday for pitch-by-pitch updates, and the full '09 version (when it launches) will extend that with support for Gameday audio. You'll be able to listen to the home or away broadcast of any game. That's great.
For now, you can download At Bat Lite, which includes scores from pre-season games as well as news from throughout the league before opening day. As a baseball fan, I love At Bat. It's worth the $5US price tag many times over.