All podcasts episodes should have canonical urls but they don't. These urls should contain an embed of the episode, show notes and probably links to popular players(iTunes/Spotify/Whatever). It really annoys me when this is not the case because it makes it hard to recommend a specific episode to folks.
Oh the podcast I was thinking of while posting this was Maintenance Phase which kinda sorta has this under "Transcripts" on their site. It's not a canonical url though, just another site listing their episodes in mostly the correct form.
I really just wanted to link to their episode about Joseph Pilates in my previous post about Leotard