TV shows can't be rented from the iTunes Store, only purchased. Therefore, the commands you see when you select the Apple TV's TV Shows entry are a bit different. You can search shows by Top TV Shows, Genres, or TV Networks. You also have the option to use Apple TV's Search feature.
While it's reasonably easy to find shows, Apple TV includes a helpful Add to Favorites command within a show's information window. When you add a show as a favorite, it appears in a new Favorites screen. Just choose Favorites and you have quick access to the shows you really care about, making it easier to purchase additional episodes.
As with movies, you can preview a particular episode by choosing it and selecting the Preview option in the episode's information window. You can also purchase the episode within this screen. If a show can be purchased by the season, you'll see that option here too. I didn't see a subscribe option for any of the shows I examined. Like Movies, you can view My TV Shows (those shows stored on the Apple TV) or Shared TV Shows (shows stored on synced and streaming computers).
I purchased the last episode of this season's Lost and was pleased that it was available for playing in less than a minute after I purchased it.
Purchased TV shows and music are automatically synced back to the computer you've designated to sync your Apple TV with. There's no need to tell iTunes on your computer to do this, it just happens as part of the sync between the two devices.
Just as you can with TV shows, you can purchase music from the iTunes Store with your Apple TV. Options when you select the Music entry in the main interface include Top Music, Music Videos, Genres, Search, and the expected My Music and Share Music. The first five entries are your means for finding music on the Store.
To purchase music, you can either select a track and then purchase just that track (if it's available--just as with the iTunes Store in iTunes, some tracks are available only when you purchase the entire album)--or purchase an album. The album price appears in the upper-right corner of the album screen.
Podcasts are also highly searchable. You can choose these command when you select the Podcasts entry in the main interface: Favorites, Top Podcasts, Genres, Providers (1UP, ABC News, and NPR, for example), Search, My Podcasts, and Shared Podcasts. When you find an episode you like, select it, press Play/Pause on the Apple Remote, and select the Download button. You don't have the option to subscribe to podcasts with the Apple TV but the Favorites entry makes it possible to easily find the podcasts you enjoy most.