WGMS, the only full-time classical radio station in the Washington, D.C. area advertises that it is a digital FM station, but I have never heard any receivers that can receive/process digital FM signals so i can't comment on the sound quality. WGMS' programming is fine for casual classical listening, it's better than most of the other radio stations in D.C. now that WETA doesn't program classical music during the week.
As for the sound quality of XM radio, some of the latest generation units are easier to listen to. My XM MyFi receiver sounds OK through it's line out connection on the home docking cradle feeding my Headroom headphone amp and Sennheiser HD-580 cans. The top half octave is rolled off, which is preferrable to the splattery sound I heard from first generation XM tuners. I've connected the unit to my preamp and listened to it through my VMPS RM-40s, and then i must agree, the sound was not suitable for long-term concentrated listening. A friend of mine just bought the Polk XM tuner, I hope to pay him a visit and see if it sounds better through a high-end stereo than my XM MyFi receiver.
That being said, i listen to my XM MyFi quite a bit, it seems the best way to hear new music in a wide variety of genres. I've purchased several CDs recently and been happy with all of them due to the exposure to the music on XM first.