It's hard for me to pick a favorite podcast, because the offerings are so rich and diverse, but I've certainly been enjoying Escape Pod: The Science Fiction Podcast Magazine of late.
Each installment includes an introductory editorial followed by top-notch short stories and occasional short-shorts called flash fiction.
The story so far
So far, I have not found a tale that I dislike. They tend to skew toward humorous, but there's still significant variety.
One of my favorites is a zombie tale: "My Friend is a Lesbian Zombie," that's loads of laughs, but the jokes are held up by a solid voodoo terror plot.
Recent entries including a fractured fairy tale called "Practical Villainy" and an erotic science fiction story called "Little Helper."
If you're remotely interested in literature of the fantastic, this is a great download choice. Check it out. For convenience, it's also available via iTunes.