First, if I'm reading a page that has a link to some mp3's and I just want to listen to them, but I'm not sure if I really want to download them, I use something called the 'easylistener' bookmarklet. Here is the bookmarklet itself:
easylistener
Drag that link into your bookmarks in your browser and then when you're looking at a page that links to mp3 files, all you have to do is click it and a new window will open with an instance of the easylistener player playing the files. Super easy and super useful. Note that the easylistener will also take the url of an RSS feed of a podcast and play it, so it's useful for when you find a podcast and you want to decided whether or not to subscribe to it.
Next, if I really like something I download it for keeps, but if I want to share it with other people I use this great site called HuffDuffer.com. This site let's you build your own podcast of sorts out of mp3 files all across the web. You can manually submit the entries, but the thing I really, really like is the bookmarklet they made. Like with the easylistener bookmarklet, you just click this bookmark when you're looking at a page that links to an mp3 that you want to submit. The bookmarklet for huffduffer is here (you need to sign up for a huffduffer account to use it):
Huffduff it
The bookmarklet detects the mp3 file and some info from the page you're reading and pops up a form to let you fill in a description and tag the entry if you want. Then the mp3 is entered into your queue and becomes part of your feed that can be consumed as a blog, podcast, or even xspf. Huffduffer is really smart with tags and such too, so you can get a feed of anything tagged 'music', or 'cincinnati' for example. See the about page for more on this. On huffduffer, I'm dmenninger.
I subscribe to my own huffduffer podcast along with a couple other podcasts on my Nokia N80 and listen to them while I walk to and from work.