I am so behind the times here probably, but I have only just stumbled across a very useful little script called Bashpodder. In 44 lines of bash script (including comments!) it downloads podcast feeds, strips out the enclosures (ie. the audio) and neatly stores them away ready for transfer to your portable media device of choice.
The best bit is the total automation of it all — no annoying GUIs to get in the way, just a raw, cron-able script you can set and forget to run once a day in the wee hours of the morning, when bandwidth is cheap and plentiful. It also scores points also for a nifty bit of XSLT to actually extract the enclosure URLs from the feed. Just plain elegant, and certainly beats the bloat of CastPodder any day.