I'm currently enjoying the Uncanny podcast hosted by Danny Robbins. Danny investigates various supernatural cases and listens to the theories from both sceptics and believers alike. Over 40 episodes of the podcast are available on BBC Sounds.
It's been mentioned elsewhere, but I'm enjoying working my way through A Podcast to the Curious. Initially devoted to MR James's ghost stories, it's expanded its remit to include writers in a similar vein such as EF Benson and LTC Rolt. RPGs are sometimes mentioned, usually Call of Cthulhu, and Improvised Theatre With Dice (per Guvnor's post above) gets a plug in one episode.
Hasn't been an episode since July the last time I looked, and the comments sections aren't being updated, so possibly may have run its course.