On the iPhone, at least, you can do this via the FStream application (which is free.)

It just takes a little setting up (basically you need to enter the URL for the stream) but it works perfectly.

The nice thing about FStream is that you can manually enter any stream you want (which I don't think is an option in Wunder Radio, you have to pick from their preloaded streams.)

As a firefighter I find it somewhat useful.

Here's how to do it with FStream.

1. Download Fstream from the app store (free).
2. From your PC, go to http://www.scanamerica.us/index.php,click on your state, then county (dark blue counties are only supported), and load the streaming version on your PC (windows media player).
3. When the audio is streaming, go to properties, you should see an address similar to http://icecast.scanamerica.us/denver,write this address down.
4. Load Fstream on your iPhone, go to favorites, edit, add new webradio.
5. For name just enter a description, for URL use the address from above (i.e. http://icecast.scanamerica.us/denver).Don't need anything for format and bitrate.
6. Go to more, enable cellular network.
7. Go to play, and select the on the favorite line that you just created. It should connect, buffer and stream that police chatter on your iPhone.

P.S. – you're not limited to the streams found in Scan America. I picked up some stream addresses of the web and entered them in and they work fine too,