Pandora Radio, Music Genome Project, is one of the best online radio program I've enjoyed for a while. I just noticed a banner on their site tonight indicating the support for mobile. According to Pandora, they are working with AT&T and Sprint phones (on a selected basis).
Unfortunately, this service is currently not supporting Nokia N95. Click AT&T or Sprint to view a list of support phones.
Update 07/18/2008: Pandora has an application for iPod Touch and iPhone. Its simply amazing. Once you logged in (as you would on your Desktop version), previously set channels are displayed. I tested it over WiFi and it works great, especially when docked to a speaker/charger set. Friends tell me EDGE network works good as well.