Bashpodder is a bash script that watches RSS feeds of podcasts for you. You make a list of the podcasts you enjoy in its config file, run the script, and it checks to see if there are new episodes.
I'm pretty sure it's just checking for new episodes versus its .log file, and wget-ing the episodes that aren't there. This unfortunately means that the first time you run it, you'll get everything that podcast has available. But if that's a concern, you could always simply edit the script and comment out the wget commands, or add the URL's to the log file.
If I didn't have a bandwidth limit every month I'd get the job to get run on a regular basis, but I usually just run it when I'm at my local campus.
Podcasts I'm digging: The Bugle (news satire), Other People Podcast (writer interviews), Comedy Bang Bang (comedian interviews and improv), fslab.net's podcast (wide variety of techno mixes), and NPR/Radiolab's the American Life (journalism).