You have at least a couple of options:
1. "bag" the domains you are after. Often known as parking the domain. You pay a small fee, typically under a tenner for .com and .co.uk domains, such that it's yours to do with as you wish. Later on, you can purchase hosting (web space for your web site) and point the parked domain at that hosting firm's nameservers - this is easier than it sounds. I use UK Reg for this,
http://www.ukreg.com/ - they have a decent enough interface for buy domains then pointing them somewhere else later on. They also allow you to forward e-mail from the parked domain to your Hotmail, GMail, etc. e-mail accounts - which is handy if you want to give out e-mail addresses before your site goes live.
2. Buy the domain name and the hosting at the same time. There are lots of firms that do this. I use www.tdmweb.com - they offer a number of packages, support is local, i.e. in the UK and is very personal. You will need web space for your site, depending upon your content, make sure you get a package that offers the right amount of bandwidth. If you are planning to publish a lot of podcasts your bandwidth needs will be higher than usual. As a minimum, look for 6gb per month packages for bandwidth - although it's easy to get a lot higher for not a lot of cash. Hosting costs can start very low, �30 per year, I pay �100 for my package.
HTH