Sure it is, but not always with the same ease as SHOUTCast.
It's really a question of whether you have the correct stream address and input plugin.
All the input plugins you require should be installed with the latest Winamp_FULL e.g. WMA, OGG, AAC/MP4.
The exception is Real Player streams that require a 3rd party plugin, 'Tara' is reccommended.
The most troublesome are WMA streams that use ASX playlists, they cannot be played directly (yet) and need a bit of fixing up first.
Use the 'Search the Forums' at the top of the page and you should find all you need.
Post back if you get stuck or have a specific stream you can't get to work.
 Too slow yet again