In all fairness, I have GTA 4 to thank for introducing me to LCD Soundsystem, so, also very very good, just... kinda harder to sing along to, so much of their music is incredible soundscapes.
Different flavors of awesome.
Oh that reminds me!
Don't think this counts as an in game radio station...
But holy shit, PayDay 2's entire cumulative soundtrack at this point.
If you wanna do something high octane, turn that shit on, you will be amped.