Usually you'll find a long, long loop of wire running around the inside of the gadget many times.
What he said ^^
I bought a bookshelf stereo that came with an FM antenna (just a wire stripped on one end) and an AM antenna- which was a plastic loop about the size of a fist with wire wrapped around and around it- then it is connected by both ends to the stereo.
Radio frequencies are actually very dependent on antenna length- even the difference between FM 88 and FM 108 would be improved if you had the exact right antenna length, but they just use an 'average' length for your stereo..
And AM radio uses a totally different tuner than FM- stereos just have 2 tuners built in..