Angie,
I also mostly listen at the gym or long walks so I have a small player that fits easily in my pocket or hand. I think an Ipod would be too bulky for me, but they have really cool features, like Jason said about the video Ipod.
Podcast receiver software like , or works like an RSS feed reader b/c you subscribe using an rss feed.
I just open Juice, click check for new podcasts and it updates all the subscriptions. If I'm working on the computer at home I just right click on an audio file and choose 'listen in windows media player.' To transfer files to my MP3 I use the software that came with the player to tranfer files for on the go listening.
Of course MP3 files like teleseminar recordings can be listened to on the player and you can also rip CD's. There are so many audios available online now, even regular tv and radio broadcasts, i.e. and the many podcast available on .
Here's hoping Santa brings you an MP3 player in your stocking. It's fun and you can get addicted real quick.