Well, anything you run in iTunes can be streamed to the Airport Express.
By default otehr applications can not directly stream their sound to the airport express but there is a fix for this.
There is an App called Airfoil by a company called "Rogue Amoeba" (www.rogueamoeba.com). It is $25 and works great (a Demo is available that lets you stream for 10 minutes).
This app lets you "hijack" the sound from any application and re-route it to the Airport Express using Apples Lossless format (meaning the streamed sound will be as good as the source you are streaming).
My wife likes to use this to stream Sirius once in a while but I personally can not stand all the audio compression coming though my beatiful speakers ...IMO it sounds better to just jack up the computer speakers but perhaps I am listening with a critical ear.