I think that depends on your software that you use to listen to the podcast. Podcasters use different forms of software. For Zune, it's just a matter of subscribe/unsubscribe :-) Or you can go to that podcasts' webpage here at zune.net and leave a review.
Marques Lyons (tromboneforhire)
Zune MVP
Contributor, http://www.insidethecircle.net