When I was a kid, I remember listening to various radio programs. My room didn't have a TV but I certainly had a radio and turntable for my records. I still remember listening to the opening bit from the Shadow and there were a couple SF/Horror stories that scared the crap out of me at the time.

On a related note, my first exposure to JRR Tolkiens' The Hobbit was via a radio adaptation from the BBC (I think) that I listened on CBC radio. I remember thinking how cool the story was so I went out and got myself a copy of the book and read it. Ahh, those were good times.