I haven't been able to connect to the iTunes store for about a week and just today some of my podcasts stopped downloading. I did this and my iTunes store popped right up (yay! i have like 5 tv shows, 10 podcasts, and some other things downloading right now!):
I added these "trusted web sites" to my filter (net nanny):
gs.apple.com
albert.apple.com
ax.itunes.apple.com
itunes.apple.com
I also added those same four web addresses to my internet settings (click apple symbol in top left, then preferences, network, advanced, proxies tab, bypass proxy settings for these hosts).
I'm not sure which of my two attempts was the solution but I'm thrilled with the result. Hope it works for you!
Windows friends, you might see if this helps you:
http://support.apple.com/kb/TS1368#mac24