I couldn't resist any longer to buy a Allnet Allsound aka U-Media AudioMate, basically a small 802.11 WLAN capable Internet streaming radio stand alone receiver. Something that you can just put into your kitchen / bedroom. It hooks up to your WLAN and plays MP3 radio streams stand alone. No running computer / hard disk / server / ... required. IT also seems to support UPnP A/V, but I yet have to look into some Free server software for this.
Oh and yes, you can actually use it as alarm clock, waking you with tunes of your favorite Internet streaming radio. How cool is that?