@waves: Dirble and similar services occured to me, but since I am not using them, I can't really comment (I do use a few web radio stations, so I know those only work with name lookup of some kind).
I just don't see an exploit based on radio streams, unless someone first hacks a web radio station, and inserts code tailored to execute on a Pi... unlikely, except as a thought experiment. I did not think of the album cover lookup, but it seems equally unlikely.
I think the larger problem is for all networked devices including those based on the Pi because the software is semi-embedded and can't be updated by the user as effortlessly as Linux on a PC, but it CAN be altered maliciously. Your smart phone, your TV, even the ever-so-friendly "Fire TV Stick w. Voice Remote" can be used against you.
@sif: Thanks for the explanation above. I think that if you have any device with embedded code connected to the same network as your Windows or Linux box, you can't really protect your net. It's like asking, if I leave my doors and windows unlocked, how can I protect myself against thieves? The only answer that makes sense, is to lock your doors and windows. Welcome to the brave new Internet of Things...
edit:
If e-cigs can infect your system with malware, just think what an Airmouse is capable of...