WLS in Chicago was started by Sears, Roebuck & Company, the World's Largest Store. An underground station I used to like in Sacramento was KZAP, which changed its great name to KYCT for a short couple of years while it tried the "young country" format - but it apparently lost the KZAP monicker forever. KFOG, an apt name for a radio station in San Francisco, is still going strong.
Our friend Gene says that there's a station in San Antonio, Texas, (west of the Mississippi) named WOAI, so there are exceptions to the rule.
-Joe Offer-