I'm probably in the minority, but I use an offline reader for consuming feeds. Nothing wrong with browser based readers other than that require you to be online, not always possible - airline flights for example. I looked at a few and finally settled on Snarfer. Easy enough to add feeds (RSS or ATOM) and it has a configurable polling interval for the refresh. It also lets you run searches across multiples search engines and continually check for new results (though I primarily rely on a Google Alert to monitor my name/blog url). One feature I like is that it has a button to email a post and it includes the URL to the feed as well as the actual post.

The only downside I've seen is that there's no social aspect compared to online readers, where if care/dare you can share your feeds with friends. Not sure how much I'm missing (or that others are) since I don't have the feature. I tend to discover new feeds either because someone posted about something that links to a new feed, or because they send me a link directly.