YES. This is my big gripe with the Zune player on Windows Phone as well. (I'm a big ESPN podcast fan as well.)
Here are my tips:
(1) The problem isn't actually the Windows Phone marketplace. If you do you podcast updates via the Zune desktop client, the podcasts are available at the same time as they are on iTunes. Pre-7.5 update, I was getting Around The Horn at ~4:30 CST, and PTI 30-60 minutes later. But when trying to get updates via my phone, the podcasts generally won't show up until a few hours later.
(2) You'll wait *forever* if you simply let the Zune client passively check for podcast updates. However, I've found that I can force-update by manually downloading a podcast. Here's my suggested approach: Find a short-form podcast (may I suggest 60-second science?) and manually download the most recent episode. Then, when you want to force-update your podcasts, just open that podcast, expand the "Marketplace" menu, and manually download an episode. While that one is loading, you'll see that your other subscribed podcasts will be downloading episodes that weren't previously available.
(3) While the above tip significantly speeds up the availability of recent podcasts, it's still not as fast as it could be. PTI, especially, seems to lag. For these you'll need a third-party app that fetches from the RSS feed directly. May I suggest PODCASTS!? It works perfectly for me in this capacity.