I download it via my Podcast software (ZenCast Organizer) then listen to it on my player almost exclusively in the car. But then, I listen to all my podcasts that way. The big difference in the case of Brilliant Gameologists is that the other ones, such as This American Life, Voice of the Revolution, and Fear the Boot, are work friendly, so I can listen to them at work. BG? Pretty much only in the car.
I have to admit though that I almost never listen to them streaming, because if I'm on the computer then I'm being distracted by what I'm doing, and I miss whole chunks of conversation and have to rewind. In the car that problem never happens.