My Favorite Murder - I may be slightly in love with Karen Kilgariff. Don't tell my wife.
King Falls AM - Imagine Nightvale, but the late night radio is hosted by a newly installed rock jock. Super funny. heartful, and actually scary at times.
The Magnus Archives - Good ongoing horror that starts as a monster of the week type thing but spins into an entire mythology.
Lore - An even mix of supernatural and just dark folklore. Interesting history stuff.
The Dana Gould Hour - An interview show that frequently makes me laugh my as off. If nothing else, listen to the Halloween episodes. I'll never stop listening, only because it gave me the expression "supercalifragilistic expialadickslap"
Superego - Possibly the funniest thing I've ever heard in my life. Like most improv, it doesn't always work, but when it does nothing compares. Example (animated):
I'll second Conan, Nightvale and How Did This Get Made