Car radios are made to receive weak signals better. This is true for FM, not necessarily true for AM. Also, car radios have a special FM system where if a signal is weak, it will "blend" stereo and mono audio, going to mono if all else fails. (Stereo FM is actually an FM mono signal with an AM difference signal which the radio reconstructs the left and right channels.)
If you're looking for a good portable AM/FM radio, look for the GE SuperRadio III. The CCradio from C. Crane is also a good portable AM/FM radio. Be prepared to pay top dollar for these radios.
What kind of receiver are you using to try to receive out of town stations? All indoor FM antennas I've tried are bad. I don't have the luxury to try an outdoor antenna.