There is an app called Spiritradio, if your handset is supported but many are not. It's very hardware dependant. It maigh also need root access, according to the description.
Have a look at the developers list of supported phones via the link in the app store.
My San Francisco 2 has FM radio built in but it's a very poor app. Unfortunately, Spirit doesn't seem to work on it (but I have to persevere with root access to be sure)
Rgrds