Most blogging platforms now make it easy to insert audio or video into a blog post. This is good, but just plunking a big MP3 file down in the middle of your blog is not a very good thing to do to your readers.
Letting your listeners know what's on the file is always a good idea. Because I produce business podcasts, I like to let my listeners know exactly what questions I ask and how far into the file it happens. That allows busy listeners to get right to the answers they want to hear.
Here's a good example from an unexpected source. I haven't played D&D for a while, but it's good to see the guys are keeping up with the times, at least as far as it relates to good form when adding a podcast to your blog.