As fo3nix says, it's related to density of the surrounding material.
Most radio stations that your car can pickup will be broadcasting on the FM frequencies around 88 to 108 million cycles per second which gives good quality sound, but because it's a high frequency it's easily stopped by rocks, buildings etc.
You can also switch to medium wave (aka AM) radio stations which tend to be lower sound quality, but will tend to work better when objects such as buildings or mountains get in the way. AM usually broadcasts around 500 - 1600 thousand cycles per second.
Another example is a mobile phone which works on a frequency well above the FM band so have even better sound quality (although digital helps) but are even more likely to be blocked by surrounding objects.
If you want the best chance of getting through then Long Wave works pretty well at only 150 - 265 thousand cycles per second, but the quality is even worse than AM.
The type of material the signal has to travel through also affects it greatly. For example limestone would probably not block as much of the signal as say granite as the latter has a much greater density so is harder to get through.
Trev