How can I receive FM radio broadcasts on my iPhone 4? How to listen my local FM stations in my iphone 4? Like I can listen with my old Nokia phone, without using Internet, GPRS etc.

Is iPhone 4 lacking this facility?

I heard about "Pandora Radio" but it uses the Internet to run and it's also not for Indian FM channels.

In my Nokia Express Music Mobile I can listen my local FM stations without any GPRS, Internet in mobile.
The iPhone 4 does not have a radio tuner. All it has is the appropriate cellular band, WiFi, and Bluetooth. In short, no there is no easy way to do this.

Some radio stations make apps so you can stream their content via the internet, or offer live streams. I would check out the radio station's website to see what they have available.