Too many to list, but here's some of my favs:
Jack Benny (the show really doesn't get going until 1937)
The Phil Harris-Alice Faye Show is one of the funniest and best written comedies. Remley is the most amoral character ever, but you'll love him just the same. This show is a must!
Lum and Abner (funny rural comedy that partly influenced The Andy Griffith Show)
Fibber McGee and Molly (we named our cat after Molly. The show doesn't really get good until 1937)
The Great Gildersleeve (the first spin off show, Gildy was on Fibber McGee and Molly)
Vic and Sade (great parody of people, but it's an acquired taste)
The Lone Ranger (best episodes are pre-1948)
The Green Hornet
Gunsmoke
The Shadow (less good after 1945)
Fred Allen
Yours Truly, Johnny Dollar (The five part Bob Bailey years are as good as any show of its kind)
Mystery in the Air (Peter Lorre is the star and the scripts are great)
Our Miss Brooks
Fort Laramie (one of the best written and acted radio westerns starring Raymond Burr right before he became TV's Perry Mason)
Richard Diamond (One of the best detective shows. Has some humor, and most episodes were written by Blake Edwards)