How do I listen to regular FM and AM radio stations on iPhone?

Most people know that you can use Siri to tune into your Apple Music, Spotify and Pandora stations, but many may not realize you can also listen to just about any FM or AM radio station across the country. So if you have moved and miss your old local radio stations, or your reception is bad in your house, just say, "Hey Siri, tune into *radio station call letters* radio." You usually have to use the call letters (like WHYY, KDAY, etc) rather than the actual frequency, and you have to say "radio" after or Siri might look for an app of that name.