Snow Leopard...in iTunes 9.
It says 'transfering'...but nothing!
In the top window?
Does it show up as grey or black in the library?
Have you tried deleting it, and re-subscribing to the podcast?
Have you tried closing down your machine and starting again?
...
I deleted, re-subscribed, closed iTunes, started again...and nothing!
Mine hung at first just after it showed up for download. It stopped completely if I remember right. So I went to my podcasts, hit refresh and then clicked to get the episode. It downloaded after that. Dunno what to say.