The Magnus Archives is a great horror podcast. It's mostly-independent pieces of short fiction, but start at the beginning because there's definitely a meta-narrative.
Also good is The Bright Sessions, also fiction, about a psychologist for people with superpowers. Also start at the beginning of this one.
A new one that's quite interesting is Ear Hustle, produced by and about the inmates of San Quentin prison. It's a fascinating look into the reality of prison life.
And then I'll second the recommendations for Hardcore History (snag The Prophets of Doom episode while it's still free, it's great) and 99% Invisible.