I use FeedDemon as I like having a dedicated app for this. FeedDemon used to be awesome when you paid for it; now that they have a free edition, it keeps getting more and more bloated - worst of all, it it 10x buggier today than it was 2-3 years ago :( Still the best I've found though.

It's here if anyone wants to use it: http://www.newsgator.com/Individuals/FeedDemon/Default.aspx