There are a thousand MP3 players for Flash, using the native streaming stuff. Unfortunately that copes generally poorly with streamed MP3 (either over Icecast HTTP, or even more so under SHOUTcast ICY). Generally the player has to reconnect to the stream every so often, causing a playback glitch, otherwise memory just fills with MP3 data.
OGG is harder. There's no native support, but in Flash 10 you can play any old samples you can decode yourself, so it's possible to implement your own OGG decoder. It needs a lot of CPU on the client though. See http://barelyfocused.net/blog/2008/10/03/flash-vorbis-player/ — I don't know of anyone having fixed this up into a single player that can do both MP3 and OGG from the same interface yet, but there's no reason it shouldn't be possible.