For those of us who are throttled from youtube / cannot access youtube / hate the garbage quality youtube provides, an option to download a high-quality version of the episode straight from the site would be nice. This also gives you the option to put in chapters (assuming you use matroska or mp4) which would be really handy to have.
They've talked about it before. The biggest hurdle I'm sure would be paying for the extra bandwidth required. Hosting on youtube is free, while having thousands of people downloading hour long 1080p videos directly from teksyndicate.com would likely get quite expensive. That's not even taking into account the revenue generated from the ads that they would lose.