Some sites offer RSS feeds reformatted for the Sony Reader... Engadget, for one.
There are RSS readers, like
RSSOwl, that will take any RSS feed and convert it into PDF for you. RSSOwl states that its software can be set to the Sony Reader's PDF screen size. That way, you don't have to limit your feeds to what Connect or someone else supplies.
If you already have an RSS reader, and can print to PDF, check your settings: You can create a Sony Reader paper size (133x170mm), save it in your print settings, and print your feeds to that.