RSS (Really Simple Syndication) is a way of syndicating news type content and consuming that content for display onto your own website. Examples of RSS feeds are the BBC news feeds, Microsoft Developer Information feeds, and indeed this blog site itself can be syndicated.
Consuming RSS feeds within SharePoint can be done by using a specific SharePoint Web Part that functions to grab the RSS content, and then transform that feed to be displayed on the page.
The easiest way of syndicating this content, is to use a 3rd party web part such as (my favourite) the Smiling Goat FeedReader.
You can download the Smiling Goat RSS Reader from:
http://www.smilinggoat.net/stuff.aspx
The advantages of this reader are that in my implementations I have carried out, it works well through firewalls (others I have used are not so successful), it allows multiple feeds to be displayed in one web part and it allows caching of information as well as other advanced options.
The download is an MSI install file. At time of writing this is version 3.0, and after the install you need to open the command prompt (Start > Run > cmd) and type:
cd\
cd program*\common*\web server*\60\bin
stsadm -o addwppack -filename "C:\Program Files\Smiling Goat\FeedReader\smilinggoat.feedreader.cab" -globalinstall -force
Once installed, you should see an additional item in your available web parts.

You can then simply drag this web part onto your page, and enter the URL of an RSS feed. For example, I use this on my Developer Team Site to display the latest on-demand webcasts from Microsoft as below:

To display this information, the following information was entered into the web part settings:

For reference, it is also possible to consume RSS feeds without the use of this web part by opening the page you want to add the feed to in FrontPage 2003, inserting a data view web part (under the "Data" menu), set the XML source to the URL of the RSS feed. You can then either amend the source using FrontPage, or just save the page as it is, and then modify the web part in IE (where you can change the XSLT by hand).