Of course I love the New Yorker Fiction Podcast with Deborah Treisman. I think the correlation between reading and analysis is sublime in this one.
Then there's the Selected Shorts from PRI, which always features a certain theme and then gives you an hour full of stories.
and the Guardian Short Stories Podcast, but they ceased to exist.
Are there any other short story podcasts which we should know about?
http://boundoff.com is a magazine of audio stories. They currently appear to be less active than before, but there are over a hundred issues in the archive.
http://www.prairielights.com/live
Live from Prairie Lights is based out of Iowa City, where the University of Iowa is. It's basically readings of short stories.