In any other country than the U.S., podcasts are not available in the WP7 marketplace. To get podcasts you can either use a third party app (like Simply Podcast which streams your podcasts when you requests them) or use the Zune software on your computer.
This might sound horrible, "I have to connect my phone to my computer to get podcast like some ipod". However, once you've added the podcast to your phone in the Zune software you can then go to Music+Videos on your phone, select Subscribe and have your phone automatically download the latest episodes when it is connected to a Wifi network.
Just slightly annoying. :)