If you're one of those brave souls who eschews the iPod for the Zune (or other portable media players that use the media transfer protocol, or MTP), you might be interested in the CastGrabber, a charger for your Zune that can download podcasts and place them directly on the player without using a PC.
As long as there's a network into which you can plug the $99.95 CastGrabber, you can grab your podcasts directly onto the player. All you have to do is set it up beforehand using a PC, and the next time your CastGrabber contacts the internet, it downloads your chosen podcast.
Even though we like its set-and-forget routine, which vaguely reminds us of a TiVo, it seems a bit unlikely that you'd have access to a network but you wouldn't have a PC nearby, but there must be some situations where you might be able to use the CastGrabber. For instance, what if you're a college student in a dorm with internet connections everywhere but you don't have a laptop? [CastGrabber]