See http://email.about.com/cs/rssfeedreaders/. It’s got an introduction to RSS and why you might like it as well as a review of 10 of the most popular readers.
Personally, I use the bloglines.com online service. For a local client, I’m undecided between FeedDemon (still in beta but it will ultimately be a commercial product) and WildGrape’s NewsDesk (free).