A few years ago we bought the Christmas mp3 CDs from Homeschool Radio Shows , and part of the set was the Cinnamon Bear series. It is a fairy tale meant to be listened to one episode each day until Christmas. Read the synopsis here. Personally I don't care for the story all so very much, but my kids really like it.
Last year I also bought the 2005 year's set on CD from Kiddie Records Weekly. I opted to buy them at the time because I didn't have access to a high-speed connection, but you can get them as a free download.
There is a lot of free old audio available on the web. Do you have a favorite free site?