The obvious is local radio and television. Throw in cable/satellite and you should have no problems listening to or watching your local team slug it out on the diamond.
But what if your favorite team isn't your local team. No problem. Major League Baseball will help you out, albeit for a fee.
Pay a visit to MLB's Media Center and you can purchase monthly and season passes for MLB.TV. This will allow you to watch games on your desktop or laptop. The Premium version offers a few perks that'll be well worth the extra few bucks for diehard baseball fans.
For those who want to just listen to the game you're in luck...and for much less than the MLB.TV option. At Bat with Gameday Audio allows you to listen to the home and away broadcasts for every game. You also get a slew of in-game information [box scores; pitch data; player analysis; etc.].
And finally, for those on-the-go types who don't want to have to be tethered to a desktop or laptop, you can listen to games right on many mobile phones. The At Bat 2010 app is available for iPhones, Android phones, and Blackberry phones among others. I have the app on my Android phone and it's well worth the fifteen bucks. The first time you're able to listen to a game while sitting at the airport waiting for your flight to board you'll know what I mean.
The first games of the season are just hours away!