Listening to radio via Internet/broadband using Wifi or 3G leads to increased exposure to electromagnetic fields because streaming is using a return channel, so the receiver also acts as a transmitter. However listening to radio via broadcast using FM or DAB/DAB+ does not change exposure as the receiver is passive and does not transmit.
This (poor quality) video is a simple demonstration of this using a electromagnetic field measurement device and a mobile phone. The same radio station, Couleur 3, is listened via different means: streaming using 3G/HSPA, streaming using Wifi, broadcast on FM and finally digital broadcast on a DAB receiver.
The meter display the power in uWatts/m2 and also provide the sound of the power enveloppe. The background field in my bedroom is between 1-4uWatts/m2 with a high power GSM/UMTS base station about 80m away and DECT, Wifi from my neighbours.
Nothing has been demonstrated yet about the possible adverse effects of increased electromagnetic exposure but if you believe or feel that there's an effect, listening to radio using broadcast network such as DAB/DAB+, DVB or FM avoid increased exposure. Another possibility is to use Ethernet cable for streaming.