If you've got an iPod, or if you're only using iTunes, you need to check out Podcasting. Podcasting allows you to subscribe to an audio show the same way you can subscribe to a blog for feeds. The application downloads the updated shows on a scheduled basis, loads them into iTunes and in turn syncs them up to your iPod. There are some great shows out there - everything from DJ'd music shows to talk radio. I've been listening to a show called Geek News Central which is basically a nerd, talking about technology for 30 minutes or so. It's great stuff.

You first need to download the Podcasting software here. You then need to subscribe to feeds from one of these aggregation sites: PodcastBunker.com or PodcastAlley.com. You can learn more about postcasting on this FAQ.