Why bother? Here's one example. The president of my organization has a blog and it has...well, just two entries. The vice-president of my division also has a blog; he also has two entries. My immediate boss blogs...he has lots of entries. How do I know when they've posted something new? Do I check their blogs every day? Not likely; they don't post often enough. So what if I could leave the checking of these sites to my computer. That's what an RSS "aggregator" does. It pulls in content from the places you chose, when you chose and deposits it where you chose.
The Newsgator suite of applications does this very well. NG is actually a series of applications: an Outlook add-in, a stand alone reader, a Mac client and a web-based reader. You can use as many or few of the products as you want, but they all synchronize with each other. That is, if I read a blog entry or a new article in my Outlook add-in, it automatically marks the article as "read" on the web-based reader as well.
Marc Orchant and Ed Bott both have great write ups of the new deal.