Yes - MLB games do get blacked out on WCBS (Yanks) & WFAN (Mets) since MLB wants you to pay for the privilege to listen online. Having said that, the MLB package to listen online is relatively inexpensive (about $20/year, I believe - I could be wrong), so it might be worth it to you.
Some NBA, NHL & NFL games DO stream online on the team's local market station, such as Nets/Devils/Giants on WFAN.com, Knicks/Rangers/Jets on 1050ESPNRadio.com/1050ESPNNY.com & Islanders on WRHU.org (Hofstra University's station).
NBA games are tricky - I've heard the Nets on the WFAN stream, but for example, the Knicks playoff games haven't been on the WEPN stream this past week. I'd gather that the NBA might have a similar plan as MLB's to listen online.