I would recommend that you go to itunes, yahoo or google and search for "celtic" +podcasts:

This is one of my favorites:
http://www.celticmp3s.com/podcast/

There are many others that you will find in your search, the nice thing is that it costs nothing to download them.

With podcasts you can just download them and play them. This will allow you to hear a bunch of bands and buy thier music if you like them.