I also wanted to add these two great links for intermediate and advanced learners:
Der Vorleser offers free (and legal!) audio books to download and listen too. There is classic literature like Kafka's "Die Verwandlung" as well as crime stories, children's literature and even poems such as the famous "Der Erlkönig" from Goethe. So if you're into audio books and want to improve your German, have a look.
And secondly, the Goethe Institute offers this podcast site. There are 10 minute listening clips along with transcribed PDFs to download to read along! You can even download them as poscast via iTunes!
@Ave I don't know your level, so there are couple worth mentioning materials. Feel free to check them out and find what fits the best:
Deutsch to go
Slow German podcast by Annik Rubens
Langsam gesprochene Nachrichten
Plenty of German audio courses from DW
Der Podcast der Duden-Sprachberatung
Get Germanized Youtube channel
Germanpod101 - it's not totally free, but you can access lots of different lessons with a free account.
Deutsch perfekt Audio kompakt
Those are if you would like to have some free materials. Also, if you are willing to spend some money, I would recommend you to take a look at Deutsch perfekt magazine and Deutsch perfekt Audio. Moreover, I like Pimsleur course very much, but it's dern expensive.