The only one that I've listened to at all is Retro Gaming Radio, from
http://www.retrogamingradio.com/ .
I haven't listened to it very much, however. Actually, only part of one episode, which was a very long list of recommended US games for the Commodore 64. I haven't managed to stay awake past the first hour and a half of it yet, but it's a lovely and nostalgic listen.
Mostly I listen to radio comedies using the mp3 player built into my Palm. Recently, I've been mostly listening to some episodes of Just a Minute from the early seventies, Round the Horne, and some of the more recent episodes of I'm Sorry I haven't a Clue.