The Wikipedia entry for Kingdom of Loathing is surprisingly thorough.

A Web-based SHOUTcast radio station, Radio KoL, is the official radio station of Kingdom of Loathing. It is a 24/7 DJ-hosted station, with DJs drawn from the KoL user base.
Radio KoL was founded in June 2004 by Kingdom of Loathing players SeveredToe and Artsychick (all DJs are known by their KoL character names). By August 2004 there were enough DJs to take the station live 24/7. During the 2004 holiday season, Radio KoL climbed to the top of the station rankings of its host, Fast-Serv.
Radio KoL does not have a fixed musical style; it is entirely DJ-dependent. The unifying theme of the station is rather its connection to Kingdom of Loathing. There is a high degree of interaction between DJs and players within the KoL chat system, from which the station frequently takes requests, and for which the DJs regularly hold contests. The prizes for these contests are typically items or currency within the game, including unique game items created for Radio KoL.
Radio KoL exists solely on donations, with profit going directly back into the station (for reasons such as the increase in listener slots from 110 to 200 in October 2004).