Many AM and FM radio stations in the U.S. transmit their audio signal in a digital format known as "HD Radio".HD Radio is a proprietary format that allows radio stations to broadcast both analog and digital signals on the same frequency. (Note that the letters "HD" are not an abbreviation for anything, they are a trademark of iBiquity Corporation). The analog channel and the primary digital channel air exactly the same programming, so you will hear the same audio whether you are listening on an analog radio or a digital radio.
FM stations using the HD Radio format can choose to transmit up to three audio channels in addition to their primary audio channel. These channels are often referred to as the "HD2", "HD3" and "HD4" channels. Note that these extra channels cannot be heard on an analog radio, although some stations re-transmit these stations on FM translators.
Some stations air unique content on these extra channels, although many use them to simulcast other stations.
More information about HD radio can be found on Wikipedia.