One of the things I didn't like about the MobiPocket software for RSS feeds is that I can't get it to download the related website of the RSS if the feed only contains short abstracts. So I wrote an application to download RSS feeds in HTML and link them together with a manifest.xml file and I open sourced it (aka it's free). If you're interested check out my blog post about it:
Daily RSS Download. It doesn't connect directly to the Internet to get RSS feeds like Hadrien was talking about. Instead you can set it to download the latest feeds on a schedule to the Iliad sync directory. Anyway, just another option. Hope you find it useful.
- Lee