First, tighten the lug nuts. Last week I thought I had blown a wheel bearing because the wheel was making more noise than the engine, and got louder at the end of the day, and the faster I went the louder it got. Turns out the lug nuts had gotten loose and the wheel was causing the bearing to seat wrong, as well as the wheel wandering. Tighten them lug nuts!
It was exactly as you described, and when I jacked it up and shook and spun the wheels for play, and there was play, then I checked for lug tightness. DOH! I tightened them up and then checked for play, the noise was gone, there was no play and I didn't have to buy new wheel bearings
Then after that I'd check for brakes and then the bearings themselves. But check everything else before you go and buy new bearings and brakes!!!