I currently only do horror/scifi audio drama, which may or may not be your cup of tea, but would recommend:
Tanis (quit before season 5, though, which is where the writers should have stopped)
The Left Right Game (I wish I had written this)
The Magnus Archives
BBC Sounds -- Tracks
BBC Sounds -- The Lovecraft Investigations
The Harrowing
Janus Descending
Primordial Deep
The White Vault
Also, Palimpsest is okay.
I have started, but have not yet decided if I would recommend:
Vast Horizon
The Silt Verses
No Place But The Water
Archive 81
My writer friends all rate Old Ghosts of Appalachia very highly. If you are in the mood for narrated stories, Pseudopod has new fiction on the regular, as does Escape Pod.
Sam