I get most of my podcasts through iTunes Music Store… but they also mostly have direct RSS feeds. You’ll need a pod catcher (iTunes on Mac or Windows works great, but there are others).
Assuming iTunes software on a PC or Mac:
Pull down the Advanced Menu tab to “Subscribe to Podcast…”
Enter the URL of the RSS feed for the podcast you want assuming you know it… frequently they are on the website for that podcast. Example: http://www.serenityfirefly.com/ look for the RSS feed logo (orange square with rounded corners, and white signal strength quarter circles), hover over that logo, and copy the URL to paste into iTunes application (eg: http://www.serenityfirefly.com/rss for “The Signal”).
Alternatively, click on “iTunes Store” in the sidebar in iTunes application, then click the “Podcasts” tab, then search for your podcast by name (eg: “The Signal”) – the iTunes Store search answers with songs, movies, apps, and podcasts; you have to scroll down to the podcasts section, then click “Subscribe Free” (if it’s free) and it will begin collecting into your iTunes folders and sync to your iPod or iPhone on next sync (or you can play it from iTunes).
I use a mix of both methods; as the iTunes Music Store does some PG-13 style filtering, and I don’t want all my podcasts filtered… The Signal is the same either way…
Oh, I forgot – by default, iTunes will grab the most recent three podcasts in the feed (the last three broadcasts).
You can go back and grab the rest once you’ve subscribed by clicking on the “Podcasts” sidebar item, then expanding the list of podcasts in the main window – it will list podcasts brightly for ones you have episodes of, and ghosted for ones you have not yet downloaded… you can click them to download them.
Be sure to delete them once you are done listening as they take up room on your drive, unless you want to save them for posterity and have drive space to spare.