Mentioned in another thread, but There I was and Never again by AOPA. Both of these podcasts cover real stories as told by pilots about when they've gotten into a dangerous situation - and how they got out. Never again is particularly fun to listen to since its' episodes are no longer than 10 minutes most of the time. If you're interested in air safety (you should be if you're even thinking about getting licensed ;) ) then this is a must listen in my opinion.

The Fighter Pilot Podcast by Vincent "Jell-O" Aiello (ret. naval aviator) is also interesting if you're into military aviation.