The Daily Show and the Colbert Report have recently been added to iTunes.
Now why would you pay $1.99 for a Daily Show episode that is only 20 minutes long when you could just get Lost or some other show? Well you don't have to.
Apple has come up with the "Multi-Pass" system. Basically, you pay $9.99 for 16 episodes. So say I were to go in and buy an episode right now. I would just pay $9.99 up front and they would give me the latest episode. Then for the next 15 new episodes to be released they will be automatically downloaded to my computer.
This system is in effect right now for the Daily Show and the Colbert Report.