a good app would be Doggcatcher for many reasons the most important feature is how automated it is once you get your favorite podcasts added (which is also easy see below)... it will automatically scan through your list of podcast for updates and if it finds one it could download it via the cell network or if you would like you can have it download only while on wifi which is very easy to choose.
you can add by searching (using the menu button)
if you can't find it by searching, which isn't very common, you could add it using the RSS feed address
It can handle both audio and video podcasts, which i find rather handy. I'm new to the android OS using a moto droid and this was one of the few things I find very very useful, i'd put it in my top 10 apps to get. All in all one of the best apps for the device I use it every day and rely on it to keep me entertained while i'm at work (3rd shift computer support).
as an aside here are some of podcasts i listen to: engadget, diggnation, totally rad show, smodcast, tell em steve dave, this week in tech and IGN.com - podcast beyond.