Podtrapper is an outstanding program for everyone interested in downloading and listening Podcasts. Mobiola XPlayer is also on a good way with it's podcast cabability, but setting up your own podcasts (not download from their suggestions) doesn't work for me and I didn't get any solution from their support so far. XPlayer offers live radio streaming too.
However for podcasts only, Podtrapper is by far the best! Besides the price is more reasonable compared to XPlayer.