I listen to a lot of comedy podcasts. Here are some of my favorites.
The Best Show on WFMU - Three hours of mirth, music, and mayhem every week hosted by Tom Scharpling, who tells stories, takes calls, brings in hilarious guests and deals with various colorful residents of Newbridge, New Jersey, voiced by a certain Mountain Goats drummer who will remain nameless. Generally the funniest three hours of any particular week.
Jordan, Jesse, Go! - Two funny guys chat about various topics with a funny guest every week. Very silly, often vulgar.
Superego - Improvised comedy edited down to a half hour of sketches every month. Four guys plus a variety of comedian guests playing bizarre characters.
Doug Loves Movies - Comedian Doug Benson hosts three or four guests each week to talk about movies and play movie-themed games.
WTF with Marc Maron - The best interviews with comedians (and the occasional actor/writer/musician) anywhere.