Depends from which end of the feed you're talking about. As a website owner you can offer a feed for those who don't want to sign up to your email list, or use Google's FeedBurner service to automatically send every blog post you write to your email list, without you having to lift a finger(but you do have to copy and paste a subscribe box on your website which FeedBurner provides the script for).
As a subscriber (and this is how I use it) I have an Apple computer and use Mac Mail. I can click on "file" in the top menu, then "add RSS feed." I then just have to type in the feed address (which can be found by hovering my mouse over the little RSS image on a website) and Mac Mail automatically adds the feed to my email list and automatically adds every new blog post to the feed, so it's just like getting any other email. All my emails come to my inbox and all my RSS feeds go to their appropriate mail box too, although I do have the option of having them delivered to my inbox instead. I get quite a few blog posts emailed to me through RSS feeds. That way I don't have to give my email address to anyone.