I listen to so many, its hard to pick one. My current favourite is probably Cautionary Tales with Tim Harford. He does really good podcasts and I've followed him over from his BBC Radio 4 podcast (More or Less) which I also love.
Cautionary Tales is about a major screw up from history and the systemic problems that caused it. It takes away from society's bias to lay blame at the feet of the last known individual involved and looks at the whole causal chain leading up to an event.