Yeah, but like many of the so-called "evil" (*cough*edgy*cough*) actions in FO3, what would be the point of killing Three Dog? You would miss out on some really some awesome music, especially if you installed the GNR Enhanced mod, not to mention the drama show. It has little to no opportunistic and practical value, unlike the evil actions in New Vegas.
Plus, I wouldn't even consider killing an NPC that interesting of an "evil" action anyway. You can just about kill any "good" NPC in FO3 and call it evil, like a beggar, or a Brotherhood of Steel initiate, or a wastelander, or one of the traveling merchants. It doesn't make any difference and the world of FO3 doesn't act any different in spite of whom you kill.
Edit:
Sorry, I miswrote. After killing Three Dog, the station keeps playing anyway. And I guess it does have some small impact - a woman named Margaret replaces him and says like three lines of dialogue to punish you for doing such a stupid and pointless thing. IMPACT! lol