From the Warp has put up a review of some of this week's Warhammer 40,000-focused podcasts. The archive is here.
Worth a read if like me you have too little time to keep up or even find the ones you might enjoy. There are so many out there that searching unaided is hard going. The last podcast I listened to was reviewed briefly in this post.
For podcasts on roleplaying, you could start your research with this page at RPG Bloggers, or this older list at Bibliophile Stalker.
I'd be very interested in a podcast for both wargaming and roleplaying, and I'm probably not the only potential new listener. If anyone can recommend one, please do.