Yes..Its true that there is NO FM Radio on Nokia Lumia 920. There are Internet Radio applications like Tuneln Radio that you may use. No doubt it will require a Data connection and an unlimited Data plan to not incur heavy cost..but no other way ..
With Nokia Amber (Microsoft GDR2) update, Lumia 920 and other models have FM radio unlocked. Go to the Music hub to find "Radio" and plug in your headphones!