The liveness of radio -- effectively negating distance -- was its first major feature. It has later been replicated by television and the Web. It has a magical quality to it. You can be there while it happens, even if you're not.
Where were you on September 11th, 2001?
Two main formats rely on this: sports and talk shows. Sports because of the suspense, talk shows for the shared social experience.
Other formats are also worth mentioning, even if they aren't as widespread: the live debate (sort of like sports, though), the broadcast speech, the press conference. Then you have the media events, the major ritual experiences like princess Diana's funeral.