Colin from TheUberGeeks.net has a great article discussing and more importantly explaining what feeds are in a way that everyone can understand. This article is a great companion for my highly-acclaimed Getting Started with RSS how to. David Brunelle also has a good tutorial for displaying various RSS feeds on your site. So now that you know what feeds are, try grabbing my feed.
If you maintain a website, I would also suggest unifying the feed icon throughout your site with Matt's famous feed icons. If you use Safari you can also get in the game by changing the bland, blue RSS icon with this piece of software.