I like to think of podcasts as mostly conversations in which you get to be a fly on the wall. The joy and beauty of the podcast medium (to me) is the ability to consume while doing something else.
I think they’re best used as just taking in the conversation without too much effort to take notes or try to maximize return.
When the legendary Dave Thomas was on my podcast, he shared his idea of the “Rule of Three”. This is that something is worthy of deeper inspection if you encounter it 3 times in a short period of time. Podcasts are a good source for this. It’s not necessarily about catching every idea - if something is worthy of your further study, you’ll encounter it on multiple podcasts or other media (potentially including conversations).
http://developeronfire.com/episode-049-dave-thomas-programmer-first (33:44 for “rule of three”)
As far as noting something to return, though, (even though I just said don’t do that) some podcast player applications have a “star” capability for per-episode favoriting. I am also fond of the Google Now “Note to self” voice command on Android for taking a voice note that goes to my email inbox to remind me to dig in later, or comment on a show notes page, or whatever. Siri has similar functions, I believe.