I really enjoy the podcast from UCLA on statistics. They give interesting tidbits and hints on statistical programs. They are actually quite entertaining.
There are currently 8 episodes. I am not sure whether they plan more, but sending them nice emails telling them how great their podcast is may help push them to renew making the podcasts.
To subscribe:
Open iTunes
Select Podcasts in the Source window
Select Subscribe to Podcast… from the Advanced menu
In the URL type (or paste) http://www.ats.ucla.edu/stat/stattalk/stattalk.xml
Click OK