A podcast is a series of audio or video sequences which are broadcasted over the internet. Sometimes single episodes of a podcast are called podcasts, too.
Listeners or viewers respectively can subscribe to a podcast by typing or copying its address into a podcasting client or podcatcher. iTunes (for Windows and MacOS) or Juice (for Windows, Linux and MacOS) are prominent examples of podcatchers. Many of these programs enable the user to download new episodes automatically.
See also Podcast in Wikipedia