Three features that would be useful:
1) A tree entry for the current queue and downloading files. This way you can easily see what files are currently downloading/queued.
2) A way to prioritize podcast downloads. Either by adding a priority setting or by letting users re-order the items in #1 above.
3) Podcasts in a feed should start downloading from oldest to newest (not newest to oldest as they do now). That way if you have been out of town and have a large number of items to download you can start listening to the older shows while the new ones download. Most podcasts build on previous shows, pulling them down newest first is like buying a TV series one disc at a time starting with the newest - you have to wait till you have them all before you can really use them.