"For more than 45 years the Shortwave radio spectrum has been used by the worlds intelligence agencies to transmit secret messages. These messages are transmitted by hundreds of 'Numbers Stations'."
If you're here for music, skip this one. The Conet Project is a collection of weird recordings of numbers stations. You can [buy a CD set][irdal] but you can stream/download it all at the Internet Archive. Many many hours of it.
Numbers stations are still broadcasting today. If you're so inclined you can listen to them live. SpyNumbers.com and HFUnderground seem to be good resources for getting into the thick of it.