RSS stands for Really Simple Syndication.  An RSS Feed is a data format used for displaying users' frequently updated content.  Content distributors (such as CAGW) syndicate a web feed, thereby allowing users to subscribe to it.  Making a collection of web feeds accessible in one spot is known as aggregation.*

How does the RSS Feed work?

In the typical scenario of using RSS feeds, a website publishes a feed link on their site which users can register with an aggregator program (also called a feed reader or a news reader) running on their own machines; doing this is usually as simple as dragging the link from the web browser to the aggregator. When instructed, the aggregator asks all the servers in its feed list if they have new content; if so, the aggregator either makes a note of the new content or downloads it. Aggregators can be scheduled to check for new content periodically.*

What do I need to subscribe to an RSS Feed?

You need an aggregator or feed reader—this is a tool like an email program. It's like getting an email every time one of your favorite websites updates their content, except no email address is required. There are many aggregators —some are online (like a webmail account), some are offline (you download the program to your computer), some are free and some aren't.  You can search the web to find the aggregator that best fits your needs.  Examples of popular aggregators include: Bloglines and NewsGator.  RSS Compendium has one of the most comprehensive lists of aggregators.*

* Adapted from Wikipedia