It would be handy to flag an episode after listening to it. This way, if I don't want to delete it but still want to know that I listened to it, an icon of some sort would let me know that it has been finished and that I should listen to the next one.
This feature would work well with my other feature request of being allowed to set the number of downloads per podcast. If I set a daily podcast to keep the last seven days around, this feature would let me know which ones I have listened to and which I have not. Ideally, the 8th oldest version would auto-delete when the newest episode is downloaded. That way, I don't ever have to worry about deleting podcasts AND I know which ones I have listened to already.