A podcast is any sort of digital audio and/or video recording that can be downloaded and enjoyed either on a computer or a digital music player (not just iPods).
According to Wikipedia:
Think of podcasts as portable radio shows that anyone can listen to, or even make and publish.
The most popular publisher of podcasts is probably the iTunes store. If you have iTunes installed, click the iTunes Store in the left column, then select the Podcasts category in the left and explore the many thousands of podcasts available.