I listen every day, although I get his show from newsgroups. I'm probably going to get a car sub this year though, although I'll still listen to what I grab online.
I don't think you can download it legally, but they sell/offer a thing called a Stilleto personal radio. It has a HD inside and you can record the show or other music on that, it's pretty sweet and functional. The show comes on from 6 am to 11 or so, has a few commercial breaks, and only comes on Mon - Thurs. Friday they air 'Mastertape Theater' that is a whole old (usually terrestrial) show. When he goes on vacation they try to put together specials to keep it interesting.
Stern has two channels and replays his show on both of them at various times, Bababooey and John Hein host the Wrap-Up show after the Stern show where they take calls and replay highlights of the show. That show is pretty good if you're a big fan, as Artie comes on from time to time (as does Fred, Sal/Richard and various other players.)
If you've never heard the show on satellite you're in for a treat imo. You should subscribe and also look for older shows to catch up on what you've missed.