Great question! You can purchase Audible content through a variety of ways.
a) You can buy individual programs through iTunes Music Store with your iTunes account.
b) You can buy individual titles through Audible.com. You will need an account at Audible. The Audible site has a broader libary that includes many more niche and special interest content.
c) You can subscribe to one of the Frequent Listener Plans or Periodical Subscriptions at Audible.com For example, with an Audible account, you can subscribe to the Wall St. Journal or New York Times and set it up to download automatically each morning.
Both stores offer there own benefits. But you must have an account with whichever one (or both) you buy from.
And of course, with either option, you can download the programs into your iTunes library for playback and transfer to your iPod.
I want to chime in with a bit more info about audible's plans. The frequent listener plans let you get a book or two a month for much less than a single purchase price (generally, some very short content may be cheaper). So if you buy a book and like it and plan to get more, consider joining audible to save money. One word of warning, the substitutions renew monthly and its a use it or loose it proposition. Just remember to get your new book(s) monthly and you'll be set.
There's a new annual plan called UltimateListener that costs $120/year and gives you 12 credits that expire in 2 years. This works out to the same cost/book as the PremiumListener plan, but without the hassle of your credits expiring each month if they are not used.
I have more info on this plan in another forum topic, so I'll refrain from reposting that info here, and just provide the link to it.