I've never really broken this down before but in movies you almost have no connection to fans. And if you do TV you're kind of connected but they know you as the TV name not your real name. If you do radio there's more of a bond there. And then if you do a podcast it's like you're literally inside of your fans.
I like the freedom of podcasting. With podcasting you can really mess around with the form and the format. You can do as much time as you like without having to pause for commercials.
I listen to KCRW in the car and Pandora radio which I stream through the stereo from my iPhone. I've been listening to everything from Caribou to Conway Twitty. If I'm going on a longer car ride I'll download some podcasts.