I use XML feeds on 2 of my sites - one stores them in the database, the other simply displays to the user.
When storing in the database, I check the feeds using a cron (a scheduled task should do the trick, or see
http://www.smarterscripts.com/cron/). When displaying, I load up the page then, using AJAX, grab the XML feeds, parse the results and display them where I want the data to be shown.
So far, when saving to a database, the only problem I've found is someone posts an article, I grab it, then they edit the title and I grab another copy of it, so I have to manually delete it. It's a beta site that I think only I use, so no big deal.
With comments, my cron script is only 45 lines of code, and that fetches the RSS list from my database, gets each XML file, parses it, and stores the new entries in the database.
See
http://scratchprojects.com/2006/07/r..._part1_p01.php to get the code that fetches & nicely parses the XML feeds (rss_fetch.inc).
Eric