The main obstacle is bandwidth. If you're going to be serving web radio over a DSL connection that has a 512kbps upload, and you want to deliver a 64kbps stream (which will be sufficient for an okay audio stream - no video), that means that you'll only be able to reach 8 users at once. Not much of a radio station.
Sufficient bandwidth for a web radio station costs money. Let's say you get a web server with 100GB of bandwidth for $150/mo. Assuming you're in a large datacenter with plenty of backbone connections, you'll be able to use a significant portion of your server's 100mbps ethernet. Let's say you're serving 300 concurrent users @ 92kbps. That's 27.6mb of data transfer per second, 1.65GB per minute, 99 gigabytes per hour. You've just used up your entire monthly bandwidth allotment in 1 hour... And that's assuming that you've leased a server that is capable of handling that type of load.
Most people in web radio who want a nice connection to the internet will get a server with an unmetered line.. And those are expensive. You'll be able to find a server with a 10mbps unmetered, single-backbone line usually starting at $350 - $450 per month.
And if you're considering spending that amount to setup a web-radio broadcast, how do you intend to make any of it back? Finding advertisers? Will web radio users listen to ads? Will the advertisers you find be willing to pay anything to a station that barely has any listeners?
Then there's the whole issue of broadcasting copyrighted music over the internet, if music is what you're planning on doing.
If you're fine with keeping it small - check out
ShoutCast. If you want something larger, those are the challenges you'll have to consider.
Good luck.
- Brandon