According to a press announcement, the Free Yr Radio tour will benefit noncommercial radio stations, and came about after a similarly themed brand partnership between Urban Outfitters and Toyota
Radio's difficulties are well known, given the cookie-cutter approach of many of the corporate stations run by CBS and Clear Channel as they position themselves for ad dollars or the fact that musical diversity and choice seem to have fled to satellite providers XM Satellite Radio
The type of young people who listen to indie music are just the demographic that Urban Outfitters strives to appeal to, so the idea of free shows in its stores makes a lot of sense -- with the benefit to non-commercial radio furthering the good mojo. Furthermore, the significant number of large, urban street locations the retailer has picked for its stores are good venues -- I know many of the Urban Outfitters I've been to give off a clubby atmosphere anyway.
It also makes one think of other retailers and consumer brands that take advantage of such opportunities (or don't). Consider Motley Fool Hidden Gems pick Volcom
Urban Outfitters has never been a big mainstream advertiser; its success has relied on grassroots, word-of-mouth buzz, which I believe has also given it much more of a non-mainstream, non-commercial feel than big advertisers like Gap