It’s possible to use an external feed producing service, but keep the feed address at your site. For example, the actual feed URL might be feeds.feedburner.com/whatever_the_feed_is. But you want people to subscribe to a feed that looks like mywebsitename.com/podcastfeed.xml.
That way, if for any reason the external service changes their policy, disappears or whatever, your feed address doesn’t get lost in cyber space. It’s still mywebsitename.com/podcastfeed.xml (but you’d have to find another way to produce the feed of course).
Feedburner support forums describe how to use the htaccess file to redirect users to the feed at feedburner:
How to forward without an htaccess file:
Via podcastingunderground podcast: