can't think of one, at least not broadcast nationally. The biggest ones countrywide are RUV (national radio) with 2 stations, and Bylgjan, a soft-rock kind of station.
some site links:
(they've got 2 other channels, similarly light)
we do get the BBC world service here, and there are tons of smaller-range radio stations in various parts of the country, but none that I can think of broadcast in English. I guess there aren't enough of us English-speaking expats, or everyone's listening online if they want to not listen to Icelandic.