My cousin pointed me to the FStream iPhone app, which does have the ability to stream Windows Media streams to the iPhone. This still doesn’t solve the problem of players written in Flash or reliant on windows DLLs, but does open up a LOT more stations for the iPhone.
For now, the method is a bit clunky. When you see Fstream Config, clicking that link will give you the raw URL you need for configuring the stream in FStream. Copy/Paste is a bit hard to use on the iPhone, but if you successfully copy the URL, you can then start FStream and Paste the URL into the Favorites Configuration…. at that point, you’ll still have to manually start FStream each time, and select the right station.
But at least it works :)
[but only if you're connected through Wi-Fi - the AT&T 3G network doesn't allow WMA streams to play.]