If you're really interested you can do some stuff with mplayer to record them. It takes as long to record as the show takes to play as it just records the stream. As mentioned it goes against the terms of the service to do that.
The application you're looking for is called iRecordMusic. I use it all the time. Search for it on MacUpdate.com or Versiontracker.com (I hope it hasn't been removed as tyr2 suggested).
There are some good BBC podcasts but it is only a selection at the moment and they have to cut out any licensed material which is daft. I wish they'd just embrace the medium - I listen to a lot more radio now that I can control when I listen (mostly in my car via my iPod).
My fave listen again programmes are 'The Now Show', 'Just a Minute' and 'The Masterson Inheritance', all comedies on BBCr4 and BBC7.
Ooh that iRecordMusic looks good, will have to give it a go.
The app I was referring to was specifically designed for the BBC Listen Again service, it could pull down a list of shows from the site and list them for you, you could then just double click to convert to MP3. Not surprisingly the BBC weren't too chuffed.