Five radio plays were aired on the BBC following season 2 and the Children of Earth miniseries, a.k.a. season 3. They feature the voices of the original cast (as it was at the end of season 2), the original music, similar sound effects, excellent performances, good stories, and high production values. While it fits well between season 2 and 3, and the cast makes sense for that period, you can enjoy this story any time after season 2. I recommend completing season 2 first to avoid spoiling events of that season.
This is the second in the series. A mysterious teenage girl is found shoplifting, and she has an unusual gun with properties not found in guns on earth. She has a Cardiff accent, but uses unusual slang. They eventually figure her out, but she presents an unusual problem for the team, and they don't know what to do with her. The story lets Gwen shine, and unusually, Andy (her partner from the police force) has is in the foreground and shows he has a heart. The story is touching and I would say unusual, though I find that Torchwood stories tend not to follow a pattern and each tend to be unique.
Unlike the first radio play CD, there are no extras (interviewing the cast about Torchwood etc), but it is worth a listen. Your library may have it.