An RSS feed allows you to see when a Web site has added or updated content - without visiting the site itself. All you need is a feed reader to manage your subscriptions, and the latest content is delivered to you as soon as it's available.
A feed reader is a desktop or Web-based tool that allows you to subscribe to feeds and browse content from your favorite sites. There are many feed readers available for every operating system and browser preference. Here are some of the most popular:
Take a look at the Wikipedia article and Feed 101, a good introduction to feeds from FeedBurner.