Zune podcasting settings are in my opinion too simple, they only provide 1 to 10 episodes then a jump to "ALL" episodes. It means you can save up to 10 episodes and if you want to save more you'd have to select ALL which means the software will download all past podcasts. So Imagine if you only want to download the past 20 episodes, you'd have to cancel the remaining, of course you can manually click the download button beside every title, but I think more controls for podcast saving is better.
I was shocked that the zune software deleted 53 of my video podcasts! I accidentally toggled the Episodes setting from ALL to 10, thus the zune assumed I wanted only 10 and deleted the rest! Now I'm redownloading the deleted files and since it's video, it will take time to complete it all..wish there was an undo mode.
By the way, try subscribing to Discovery Channel's video podcast, they're good! also includes bloopers of Mike Rowe's Dirty Jobs, and behind-the scene takes on Mythbusters! Search them in the Zune Marketplace.