RSS2Email with a Sieve filter to move the messages into their own folder. I use various IMAP clients to read my feeds, including Thunderbird on my laptop, Mutt on my Linux box, Roundcube when I need Webmail and K-9 on my phone.

The only problem with it is RSS2Email sometimes sends duplicate messages for some reason. It also doesn't offer the capability to filter messages out of the feed. If I need to do anything like that I just bounce through Yahoo Pipes.