Freeware for your Desktop
Some of them are free and you can download them to your desktop. I've used FeedReader and found it quite good, though I now have moved on from it.
E.g. FeedReader , RSSReader
Some aggregators are web based so you can access them anywhere there is an internet connection.
E.g. Bloglines, Google Reader
I personally use Bloglines now because I work at a number of different computers over the course of my week and I like to be able to read blogs from where I am at the time. (It also means I don't lose the program everytime DH decides to reload Windows or upgrade our motherboard on our home computer...).
There are 2 internet browsers (that I am aware of) that can deal with RSS feeds.
1) Firefox is an internet browser based on code produced by Mozilla. I use Firefox almost exclusively because I like many of it's features. Firefox uses "Live Bookmarks " to capture RSS feeds. If you use Firefox, each time you visit an RSS enabled site you will see a little orange cube to the left of the URL.
By clicking on the cube you can add the live bookmark to your Favourite folder. Once the bookmark is added, you'll see the new posts to a blog by placing the mouse over that bookmark.
2) The other internet browser is Flock. Flock is based on the same code used to make Firefox, but has a few interesting features particularly relevant to the social networking aspect of the web. It is still in a beta version. If you use Flock, you can click on that orange cube thingy, and it will automatically add the RSS feed to a side bar in your internet browser.
Email Client Based
I'm only aware of one email program that deals with RSS feeds, but I am happy to be enlightened to more!
Thunderbird is Firefox's email client and easily reads feeds. Thus you can have your email, RSS feeds and newsgroups all in one place.
Congratulations if you have made it this far! Moving on to using an RSS Reader.