Taken from Six Apart's "About Feeds" web site:

Many websites have links labeled "XML" or "RSS" or "Atom". All of these are ways of saying that you can find out about updates to that site without having to browse to it yourself to check.

This feature is referred to as Syndication or Aggregation, or sometimes it's just called Subscribing. On some sites, instead of a link, they'll have an orange button that says RSS or XML, and looks a lot like this: That's a sign that the page you're viewing has a feed available.

[edit] Subscribing to feeds

To find out about those updates, you will need to use a piece of software that can monitor these feeds known as News Aggregator software or "Feed Readers." Examples of such include pieces of software include Bloglines (an online feed reader), RSSBandit (for Windows), and NetNewsWire (for Macintosh); though, many of the major browsers including Firefox and Safari have built in Feed Readers.