It probably depends on the client you use. Personally, I still prefer Thunderbird as I already use its email function (duh) and calendar. RSS in Thunderbird is by no means spectacular but they offer a couple of useful functions like automatically applied filters to delete, move or mark messages.

The downside, when compared to an online service, is that you obviously can only access your feed on your laptop. On the other hand, it's freeing that you don't always have to check your feeds. Also, you don't depend on a service provider to keep its product alive.