There seem to be some podcasts that simply won't download before a warning about the content not being able to be played on the device is presented.
AAC, AAC+, eAAC, eAAC+, MP3, MP4, M4A, WMA, Mobile XMF, SP-MIDI, AMR (NB-AMR), MIDI Tones (poly 64), RealAudio 7,8,10, True tones (WB-AMR), WAV
is what is claimed to be supported.
But I have a podcast in m4a format I get the warning.