If it was properly programmed, It would not lag one bit. P2P(peer to peer) hosting of the song would cause minimal lag. Vindictus sends 100-200 kbs per second, all from p2p hosting. Songs are much less than that. If poorly scripted, yes it will lag. If programmed properly(will need a client update for p2p hosting support) it will not lag at all unless the host lags. Only downside to this is the host would need to be online for the hosting to work. UN has a radio system, and it works quite well.
The real problem with this is people will complain about offensive music, and copyright issues.
As a start I would like to see guild/party voice chat, hosted by a player. Though knowing stefan he isn't the greatest programmer so this will be a challenge for him. He can't even make a delta timer so when we lag we wont walk slow. (move distance=speed*rendertime)