You can download the rss.js script.
Voilà! No need for any server-side processing of the RSS feeds. You can magically display RSS feeds everywhere. Of course, this will only work with recent browsers.
Why is this useful? I found that the typical PHP-based solutions to parse RSS feeds were a pain to setup.
The downside? The RSS feed is read each time the page is displayed. However, the browser does a lot of the work (XML parsing) so I suspect this is an acceptable solution.
Here’s an excellent reference on AJAX: using the XMLHttpRequest object. It is a bit technical, and it is not complete, but it is the most concise and useful reference I found.
Update: Stephen Downes reported this script in his newsletter.
Update 2: Please do not load the script from my server, make a copy! You are stealing my bandwidth! If so many people keep doing it, I will have to get nasty.