I'd like to be able to look at the listing of podcasts (the high level listing, not the individual episodes inside one) and be able to play a particular podcast from that screen. Clicking play there would automatically load all of the episodes into a playlist and play them from oldest to newest.
Can't you pretty much do this already if you hit "a" while looking at a podcast listing...it will then dump all the episodes in the podcast into the playlist, and you have to start playing from the first one...
For more control, Alt+A allows you to select the destination playlist. This works for entire podcasts as well as individual episodes. I keep an "On-the-go" playlist for this purpose.