I've always enjoyed the John In The Morning show on KEXP.

Chicago's WXRT is one of the most adventurous radio stations in the country. For example I once heard them play The Cure, Muddy Waters, and Queen back to back to back in the middle of the day. How many radio stations can claim taste and variety on that scale? Sorry to say almost none. They also play many exclusive concerts on Saturday and Sunday nights. They have a separate sub station that plays exclusively new releases. www.wxrt.com

Chicago's WDRV is pretty good Classic Rock, but it's nice variety and they throw in some obscure stuff on a regular basis too. In fact they have a separate HD substation called deep tracks, which they also stream over the internet. http://www.wdrv.com/