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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.