UPDATE 3/27/2008: 

This appears to have been disabled.    If I had to guess, Apple sent down some kind of an update which disabled this capability.  On the bright side, my photos screen saver is no longer showing a white screen after a few days of running.  You can still use AppleTV as an AirTunes speaker and stream it through iTunes, so that's the workaround I have for now.  Hopefully, they'll enable Internet Radio Playlists in a future update.

ORIGINAL POST 2/13/2008:

Woo hoo!

I just downloaded the 2.0 update for my AppleTV.  My Internet Radio playlist synced up to it and now there are actually entries in it!  So finally, I can enjoy Radio Paradise throughout the house. 

To make this work with any internet radio stream URL, you can do the following:

1. Load iTunes.
2. Create an empty playlist.
   
3. Click on menu: Advanced => Open Stream...
4. Enter your favorite internet radio station stream URL.
5. As you are listening, click on menu: File => Show Current Song
6. Drag the highlighted item (which should represent the internet radio stream you are hearing) over to the playlist you created.
7. Sync the playlist over to your Apple TV (must be running 2.0).
   

If the stream is in the iTunes Radio directory, you can also drag it over to your playlist...  but for unlisted streams, I have yet to find an easier way to do this in iTunes.  If you know of one, please respond with a comment below... 

At this point, I'd now recommend AppleTV to anyone.  Using a combination of iTunes Library Updater, J River Media Center (my favorite music organization software), and iTunes, I'm a happy camper.