Podcasts are similar to On-Demand, but the advantage is that once the file is downloaded you could then "take it with you". For example, you could burn an MP3 audio file to an audio CD and listen to it in your car, or you could download the QuickTime video file to your iPod-Video and watch it on your lunch break.
CT-N posts audio files in MP3 format and video files in MP4 format.
You can find free RSS subscription software on the web, such as Apple iTunes [screenshot] or through a search engine (Google has a nice free RSS Reader, too [screenshot] ). You can download the free QuickTime player and the free iTunes service from Apple. You can find free RSS software by clicking here. Many media players are capable of playing MP3 files, including the free Windows Media Player.