In the old trove of blog post drafts I found this post from 2013. I do not know why I never published it. Since it is still relevant, here we go. With a three year delay:
For a moment I thought the possibility to directly subscribe to a podcast had vanished with iTunes 11 (and 12), but that is not the case. The option has moved on the menu from 'Advanced' to 'File'. For my blog this feature is absolutely critical as this allows me to continue posting feed URLs as I used to.
Copy the URL to a podcast feed anywhere you find it, for example on any post on this blog that reviews a podcast. Go to iTunes 11 and click the menu item 'File'. Under File you will find the option "Subscribe to Podcast..." - select this. A tiny window will open in which you can paste the URL you had copied to begin with. After pasting the URL, click OK and iTunes will be subscribed to the chosen podcast. Thus you will not have to look the same podcast up in the iTunes store and subscribe from there.
If you have a previous version of iTunes, you find the same possibility under 'Advanced' as explained in the old post about subscribing to podcasts in iTunes.