The BBC /programmes site is the best place to bookmark individual radio shows, as it provides a nice, clean list of all episodes.
This Greasemonkey script adds a link from each episode of a radio show directly to that episode in the iPlayer, when available. It needs GM 0.8, as it @requires jQuery.
It's most useful in Songbird, but you need to fiddle with Greasemonkey 0.8's install.rdf file or disable compatibility checking.
Here are some pages worth bookmarking:
There are supposed to be full data APIs in multiple formats at some point; these pages really need Atom feeds for alerts of new episodes. In the meantime, it's easy to create feeds with feed43, for example.