Another example of why using your own domain name is better than relying on free services out there. Change iTunes feed for Odeo podcast This user was using Odeo to create her podcast. Now she’s stuck using them, since Apple’s iTunes podcast directory has that URL. And Odeo doesn’t provide a way to get out of their system. If you create content under your own domain name, you have a lot more flexibility.
I’m still not comfortable using other established services like Feedburner. You end up building a brand of feedburner, not your own. Yes, Feedburner’s services are useful and nice. But you can get stuck using them for a long time.