This post seems to have gotten a lot of traffic from Google, so I'm going to keep updating it as I find more excellent podcasts. Leave your finds in the comments!
I am not the biggest fan of exercise, primarily because I find it boring (I climb stairs, go for walks, or use the elliptical or erg machines), and my boredom draws attention to the fact that exercise is less comfortable than sitting on the couch drinking wine and watching The Dog Whisperer. But I believe exercise is important, so I combat the boredom with podcasts. The following podcasts are so good, I go to the gym just to be able to completely focus on them.