The XM radio is just an internet feature. It is like 9.99 a month and you get I believe 20 stations. It is just streaming audio.
It has been around for a few months now. I purchased a LG CU500 back in April for my fiancee and it had the xm branding on the box but it just turned out to be an online feature, nothing more.
Here is the info about it if you are interested. The stations that it offers are crap though. XM Mobile on Cingular and Alltel