A radio signal is electrical energy. You are correct, there is not much energy at any significant distance from the station, so a few tricks are involved:
- The earphones are special models that are high impedance and require very little current to operate. Modern earbuds like you use with a mp3 player or cellphone have a low impedance and will not work.
- These earphones are connected as the load to a high Q resonant circuit, which collects and concentrates energy at the desired radio frequency.
- AM radio in particular can be decoded to audio with a diode or crystal. Other more modern modulation types (FM, Digital Audio) can not be decoded in this way.
Getting a crystal radio to work depends upon having some strong local stations, a good antenna AND ground, and not having a good ground will keep it from working. If you have copper plumbing, attaching to the cold water service can be a good ground if the water service arrives from the ground without any plastic PVC pipes.
Here are some links which may give you a fuller understanding:
http://en.wikipedia.org/wiki/Crystal_radio