I used to subscribe to like fifteen different podcasts that were designed to help you learn a foreign language. They were fun to listen to while working out, especially the ones with a focus on culture. Now I don't really use my iPod anymore.
I listen to them in the car mostly. I love Wait, Wait Don't Tell Me and This American Life from NPR, and a few shows from How Stuff Works, like Stuff You Should Know, Stuff Mom Never Told You and Stuff You Missed in History Class.