Downloading audio files and streaming them both have their advantages and disadvantages.
Here is how This American Life describes them...
Sometimes listeners point out that it would be more convenient if they could download the audio of our shows instead of using our free RealAudio streaming. But for a long time, we didn't offer files you could download because that would infringe on the copyrights of all the people who contribute to the show. Listening to streaming audio, in a sense, is like listening to a story on the radio; you can hear the thing, but you don't own your own copy. Our feeling is that if listeners want to own recordings of the shows, the contributors should get some money out of that. God knows they didn't make much money from us when they wrote the stories.
With all that in mind, we've made a deal with Audible.com to provide downloads of This American Life. Other public radio shows like Fresh Air have made similar arrangements. Audible.com has a way of encoding the sound that's like MP3, but that only allows listeners to download one copy, and doesn't allow swapping or duplication. In other words, only the person who pays for the soundfile can use the soundfile. Listeners can play the soundfiles on their computers, transfer them to little portable audio players like the Rio 600/800/900 series, Pocket PCs and Palms Tungsten T. Audible is compatible too with Apple's iPod player and iTunes desktop software, if you're running OSX on your machine.