IIRC the stock game comes with one mp3 file in the Gram folder, GWX gives you a couple dozen or so ogg files.
But you don't have to listen to any of it if you don't like it. You can do what you like with the Gramophone folder: take files out for tracks you don't like, add files in for stuff you do want to hear.
In-game it will play both mp3 and ogg files, altho the general consensus seems to be that ogg files are more stable and work better. I've also heard that whichever file type you choose, you should stick with one or the other and not mix 'em up.
If you want to be realistic you can stick with only stuff that would've been historically available at the time, or you can just throw whatever you like in there and pretend your radio operator was a time traveler in his pre-Kriegsmarine career.
There is tons of historical stuff available in the Downloads section here, in the SH3 Sound Mods section. Everything from period music to archival radio broadcasts.