The HTC Desire does, but it already works there. Most people are speculating that this is one of the "secrets" Google claims is still hiding away in the Nexus One, given that the Desire and the N1 are basically the same inside, and their Broadcom chipset's specs include FM receiver/transmitter.
I'd read (though I can't find the link now) that there's no FM antenna connected to the FM radio in the N1. I'm not sure if that's true, or not... would be a damn shame if so.