One of best historical Home Radio Broadcating was created by famous Mr. Les Paul in NY Usa in the 50's, to transmit live jazz music session on Fridays and Sundays. Listening to pirated stations on AM HF is still very interesting, The signals are often weak, so you need a good receiving station and know the propagation and the best use of your receiver.
About Pirate Radio in Europe you can use this chat : https://xat.com/PirateRadio2011

About pirate radio in USA info are available at:  http://freeradiocafe.com/forum/index.php

In USA exists a federal law PART 15: http://www.part15.us/ that allows to transmit with a special AM Low Power Station without License but with technical limitations about coverage and ERP power.
In Europe the situation about Pirate Stations is very different and also on FM and Web we have Free Station. Depending on country, the pirate radios are sometimes tolerated, in other cases legally prohibited !
Listening to pirated stations is still very interesting on AM HF, The signals are often weak, and you need a good receiving station, know the propagation and best use of RX antennas. Also if you dont have a receiver at Home, you can listen anyway via : http://websdr.ewi.utwente.nl:8901/