I pay attention to a couple of podcasts using Sage (a Firefox plugin). But it's a pain to manually download each of the .mp3's, and I didn't want to use iTunes to do it for me.
Turns out there's a pretty nice, free (as in GPL) podcast receiver. You just add the feeds you want and it'll download them for you. It also does a nice job of letting you clean them up (delete them) when you're done.
Check it out - click on the button: