A lot depends on several things
first off, to answer your question, RG6 or RG 59 is the cable you will want to run but youi're gonna need to put an antenna up there to do anything with it.
Here's what you need to consider when deciding which one.
1) Distance between you and the stations you want to listen to.
2) The terrain between you and the stations you want to listen to.
3) And, last but not least, the direction of the stations you want to listen to.
If they are all local, in the same direction and with no geographic obstructions between you and them, a small antenna might work.
Here's a little something to play with:
http://www.radio-locator.com/
Get some of these issues worked out and then ask again but with a little more info.