WNYC has a 14-hour recording of their reporting on 9/11 to listen to if you would like to hear how the day unfolded to radio listeners.
The audio above is a recording of what WNYC broadcast throughout the day on September 11, 2001, beginning shortly after the first plane struck the World Trade Center. It includes the first eyewitness account of the attacks recorded and broadcast that day.
WNYC's radio tower was located at the top of the World Trade Center and broadcast was cut on FM wavelengths after the building was attacked. However, WNYC was still broadcasting on their AM channel which you can hear in the recording.
EDIT: If you want, you can also check out CBS' 1010WINS news broadcast from that morning.