When I switched from an mp3 player to an iPod, I discovered the iTunes store and the wonderful world of podcasts.  The New Yorker has some great offerings: http://www.newyorker.com/  scroll down and you’ll see a link to audio in the left column.

I’ve recently discovered some old time radio mystery podcasts, too, which are perfect for walking to work, since the plots are generally fairly obvious and if a really noisy truck goes by, it doesn’t matter if you miss a word or two (or even more, in some cases).

iTunes U also has lots of free audio offerings.  I listened to an interview from the 92d St. Y in NYC – Susie Esseman (who plays Jeff’s wife on Curb Your Enthusiasm) interviewed Carl Reiner, which was a lot of fun.