I don't care where I download it from really but I do use iTunes for all my current feeds to other flyfishing podcast sites. It's certainly easy.
As for when you should load them up for download...the sites that have "live" feeds like AskAboutFlyfishing...usually upload the download about a week or two after the live broadcast. I can't listen to it live because I'm at the local fly fishing club on the nights they do their live broadcast, so I download it to iTunes, them my iPod for stuff to listen to on my treadmill or in the car. On day I'll have a video iPod, and I'll probably watch them while I wait for appointments of on the treadmill.