If you go to http://www.zune.net/en-us/social/passiton.htm  you 'll see some PodCasting  sites advertised there.You should use a 3rd party application if you want to use these. You can find more info here, about using these with your Zune.

Lets hope this means PodCasting support will be added on Zune Software and Marketplace soon :)

You can go there from the main page clicking "Pass it On" from the bottom bar of Zune.net. 

EDIT: the icon above was digged by our visitor williamc on his comment below. 

[via ClicZune ]