PSP News Reader by Gary allows you to follow RSS feeds using your PSP. Here are the release notes:

This release covers one bug where it would crash for some odd reason on the modshark XML. I’ve also re-added the RSS feed for this site.One last change, I’ve made it so each XML feed is put into a seperate file.Next I plan on using a ported libcurl by danzel, as this program is currently having problems downloading files 5mb+ in size (MP3s!!).