I recently got an Mp3 player and discovered podcasting. For those that don't know, podcasting is basically a way to automatically download content (sound or video) files to your computer. This is the coolest thing since radio was invented. In fact I have not listed to the radio since getting my Mp3 player. Take a look at this page if you want to know more about podcasting.
Here are a couple of geocaching podcasts that I listen to:
Cachecast (This one is my favorite)
You can also download these manually and listen on your computer. High speed internet is a must since the files are 10 - 30 mb.