First, check that you can get DAB reception of 5 Live in your area. Enter your postcode alongside 'DAB Digital Radio', here:
http://www.bbc.co.uk/digital/
Then, if you only want the radio for listening to 5 Live (while in bed), go for the cheapest you can find. I bought mine in Asda a couple of months ago. It's an 'own brand' (Durabrand) model and was 'reduced to clear' at �20 (instead of �24.97). It's mono only with the speaker but stereo with headphones. I suspect that Asda were only getting rid of that model in order to re-stock with the latest version, so it might be worth taking a look in your local branch.
Otherwise, consider this from Argos:
http://www.argos.co.uk/static/Product/partNumb er/5005567/Trail/searchtext%3EDAB.htm
or, if you want stereo speakers and a built-in alarm clock, there's this:
http://www.argos.co.uk/static/Product/partNumb er/5005220/Trail/searchtext%3EDAB.htm
If you'd rather have a small handheld radio, that you can take under the bedclothes, there are some possibilities listed here:
http://www.radio-now.co.uk/handheld_pocket_dab _radio.htm
However, you need to be aware that DAB radios typically require 15 times as much power as conventional radios, so you'll probably end up spending a fortune on batteries.
Chris
(PS: With a DAB radio, you'll probably discover that BBC7 has far more interesting late-night listening than 5 Live)