The Big Finish audio plays are tie-ins, like the novels, and their canonicity is debated. Peter Davison, Colin Baker, Sylvester McCoy, and Paul McGann have all done radio plays, some with companions who appeared in the television series and some with companions unique to the audio plays. There is also a short series titled Dr. Who Unbound, which features alternate Doctors and universes, for instance the Doctor as female; a short series featuring Sarah Jane Smith; and a series featuring Bernice Summerfield, a long-running companion from the tie-in novels.
List of DW audio titles and their chronology in relation to the television series.
I listened to two of the Eighth Doctor stories in the last week or so. They're really good while doing housework, occupying your mind while leaving your eyes and hands free. At first, I was a little taken aback by the infodumping, but in audio, there's no other way to set a scene. There are sound effects, but they aren't nearly as effective as dialogue or even monologue. After a while, I adjusted to the style.
"Storm Warning" introduced the companion Charlotte "Charley" Pollard, played by India Fisher, a self-proclaimed "Edwardian adventurer" who at first is disguised as a boy. It's got a fun, steampunky feel; very British Empire meets aliens. It seemed a little long to me. I was less interested once the aliens were met and their complex society became the focus of the story, though I did like that one of the characters took a, for me, unexpected turn, in a comment on British imperialism.
"Sword of Orion" follows on the heels of "Storm Warning" and is sf all the way. The Doctor and Charley go to a space station marketplace and end up on a salvage freighter, trying to salvage an enormous, mysterious ship. Things get creepy. I was really liking the story at that point, and liked it even more when it turned out the abandoned ship was full of frozen Cybermen. There's some interesting commentary on humans, Cybermen, and a race of androids who live in the Orion system. I'd recommend this one over "Storm Warning."
Also, Paul McGann has a lovely voice.