In many cases it is a good idea to analyze the stream format and protocol using freeware URL Snooper.

You can use lots of programs for non-shoutcast streams. If you have a list of formats (or at least web-sites) that you wanna record, we can suggest you software to use.

If you wanna record music from any radio station, you may use Replay Music. Although it records from your sound card, it can split and tag songs automatically.