The easiest way to achieve this is to get the RSS feed converted to a JSON object. This way you can invoke the URL using JSONP and then parse the output using the jQuery template engine.
1) Convert RSS feed to JSON feed using Yahoo pipes (you can also combine RSS feeds)
http://jquery4u.com/rss/
at
Yahoo JSON Pipe Output
2) Send JSON feed using jQuery template engine like json2html
<script src="http://code.jquery.com/jquery-1.6.4.min.js"></script>
<script src="http://json2html.com/js/jquery.json2html-2.5-min.js"></script>
<script type="text/javascript">
var transform = {tag:'li',children:[
{tag:'a',src:'.link',html:'.title'},
{tag:'br'},
{tag:'span',html:'.description'}
]};
$.getJSON("http://pipes.yahoo.com/pipes/pipe.run?_callback=?", {"_id":"f5e0edec7594378e719cf18c53f8a26c","_render":"json"}, function(data){
$('#rssFeed').json2html(data.value.items,transform);
});
</script>
<ul id='rssFeed'></ul>
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