Here's something that really bugs me about iTunes' podcast support: Its definition of an "unplayed episode" with respect to retention.
When you play a track in iTunes, its play count doesn't increment until you've gotten through the entire track. It took me awhile to realize the wisdom of that fact and how it helps with smart playlists. However, it seems like they've flipped the conditional for podcasts—if I even brush past a podcast, it's marked as played, and therefore deleted from my iPod if I happen to choose to only retain unplayed episodes.
What this means is that what I was listening to on the ride into work won't be waiting for me on the ride home from work. That sucks. I'd set aside my own podcast tuner I'd built for my book in favor of iTunes 4.9 when it arrived, but I'm starting to reconsider that. It's the small things, but they matter.