A PodCast is really just a large MP3 file, so all you need is something that subscribes to the RSS/Atom feed of your favorite podcasts and automatically downloads them.
Apparently this is one of the better ones:
http://juicereceiver.sourceforge.net/
Once downloaded, you can import them into your media player/manager of choice.
I think Media Center and Windows Media Player also have pod catching features, but I prefer my "bloated and not particularly user-friendly" iTunes since it makes the whole process simple.