I'm not going to tell you that "This American Life" is a must-listen podcast. About two of every five shows aren't at all worthwhile. Another two are just ok. But that other one is absolutely fascinating.
A show from a couple weeks ago, "The Invention of Money," was one of the best I've ever heard. (The shows produced in tandem with NPR's "Planet Money" team are consistently top-shelf. "The Return to the Giant Pool of Money" and "Bad Bank" are a couple of my favorites as well. You can buy shows from the archive or stream them for free, and of course the weekly podcast is free. Of course, if you don't feel like you're already supporting public radio enough through your taxes, you can always kick in a few extra bucks.