Some streaming apps like Pandora and Last.fm have settings that allow you to disable the auto-lock feature or force the screen to stay on. It used to be with the old iOS operating system, the iPad would "go to sleep" after 30 minutes if inactivity and it would shut off the WiFi, presumably to conserve the battery, but this was (supposedly?) fixed with iOS 4.2.1. I have not tested this with streaming audio apps (like NPR) that do not offer that feature since I mostly listen to streaming radio stations with the PocketTunes that does offer that feature.