My favorite is mplayer.
Just use:
mplayer
http://myfavoritewebsite.com/stream -dumpstream -dumpfile <filename.mp3>
I can capture streams from shoutcast this way. You have to slice it all up later, but it saves having to download all the songs (I listen to classic rock, jazz, and classical music, I feel no regrets downloading songs)
Note: This does NOT mean your stream will automatically save as mp3. It'll save as whatever you rip it as. You must then convert it to mp3 if you so desire after that using mencoder (comes with mplayer) or any other converter.