Where is the error message for a failed podcast download?
Yes, when you are downloading episodes in iTunes 11, this icon shows up:



Click it and you can open your download progress:



If downloading fails, an error message will show up to the right of the status bar with an error code. You can Google this code for info. In my experience, this downloader is very unreliable if you have anything else downloading at the same time, or if you allow simultaneous downloads, although if you allow simultaneous downloads it generally finishes quicker if there are no errors.