If you notice that the episodes are not downloading completely (for instance, the episode stops playing after 2 minutes) then you may have a timeout problem. This means that iTunes will stop downloading the files, if it takes to long to download them. Its a "feature" in iTunes...

To reduce the number of iTunes timeouts during download set iTunes to download only one episode simultaneously:

Now, only one episode will be downloaded at the same time, which should resolve that problem.