While Windows Phone 7 has a podcast client built-in, it's limited to either synchronising with Zune Desktop or waiting for independent downloads to begin while on recharging the device. More importantly though, Windows Phone users outside of the US are tied to using Zune Desktop software to add new podcasts. People who are accustomed to using podcast clients on competing platforms no-doubt expect to be able to meet all of their podcast needs on their mobile device without involving another computer.
Windows Phone now has another third party option for fulfilling their podcast needs thanks to Podcatcher for WP7, which is an open source rewrite of an application, going by the same name, originally written for the Meego-Harmattan powered Nokia N9.
The application makes searching for podcasts quite easy, either by entering an RSS URL or by searching the gPodder.net directory. Currently there's no option to import via OPML file - which would, admittedly, have to be done via SkyDrive.