Use jFeed - a jQuery RSS/Atom plugin. According to the docs, it's as simple as:

jQuery.getFeed({
   url: 'rss.xml',
   success: function(feed) {
      alert(feed.title);
   }
});

For those of us coming to the discussion late, starting with 1.5 jQuery has built-in xml parsing capabilities, which makes it pretty easy to do this without plugins or 3rd party services. It has a parseXml function, and will also auto-parse xml when using the $.get function. E.g.:

$.get(rssurl, function(data) {
    var $xml = $(data);
    $xml.find("item").each(function() {
        var $this = $(this),
            item = {
                title: $this.find("title").text(),
                link: $this.find("link").text(),
                description: $this.find("description").text(),
                pubDate: $this.find("pubDate").text(),
                author: $this.find("author").text()
        }
        //Do something with item here...
    });
});

jFeed doesn't work in IE.

Use zRSSFeed. Had it working in 5 minutes

Update (Oct 15, 2019)

I extracted the core logic from jquery-rss to a new library called Vanilla RSS which is using the fetch API and can work without any additional dependencies:

const RSS = require('vanilla-rss');
const rss = new RSS(
    document.querySelector("#your-div"),
    "http://www.recruiter.com/feed/career.xml",
    { 
      // options go here
    }
);
rss.render().then(() => {
  console.log('Everything is loaded and rendered');
});

Original

post:

You can also use jquery-rss, which comes with nice templating and is super easy to use:

$("#your-div").rss("http://www.recruiter.com/feed/career.xml", {
    limit: 3,
    layoutTemplate: '<ul class="inline">{entries}</ul>',
    entryTemplate: '<li><a href="{url}">[{author}@{date}] {title}</a><br/>{shortBodyPlain}</li>'
})

yields (as of Sept 18, 2013):

<div id="your-div">
    <ul class="inline">
    <entries></entries>
    </ul>
    <ul class="inline">
        <li><a href="http://www.recruiter.com/i/when-to-go-over-a-recruiter%e2%80%99s-head/">[@Tue, 10 Sep 2013 22:23:51 -0700] When to Go Over a Recruiter's Head</a><br>Job seekers tend to have a certain "fear" of recruiters and hiring managers, and I mean fear in the reverence and respect ...</li>
        <li><a href="http://www.recruiter.com/i/the-perfect-job/">[@Tue, 10 Sep 2013 14:52:40 -0700] The Perfect Job</a><br>Having long ago dealt with the "perfect resume" namely God's, in a previous article of mine, it makes sense to consider the ...</li>
        <li><a href="http://www.recruiter.com/i/unemployment-benefits-applications-remain-near-5-year-low-decline-again/">[@Mon, 09 Sep 2013 12:49:17 -0700] Unemployment Benefits Applications Remain Near 5-Year Low, Decline Again</a><br>As reported by the U.S. Department of Labor, the number of workers seeking unemployment benefits continued to sit near ...</li>
    </ul>
</div>

See http://jsfiddle.net/sdepold/ozq2dn9e/1/ for a working example.

Using JFeed

function getFeed(sender, uri) {
    jQuery.getFeed({
        url: 'proxy.php?url=' + uri,
        success: function(feed) {
            jQuery(sender).append('<h2>'
            + '<a href="'
            + feed.link
            + '">'
            + feed.title
            + '</a>'
            + '</h2>');

            var html = '';

            for(var i = 0; i < feed.items.length && i < 5; i++) {

                var item = feed.items[i];

                html += '<h3>'
                + '<a href="'
                + item.link
                + '">'
                + item.title
                + '</a>'
                + '</h3>';

                html += '<div class="updated">'
                + item.updated
                + '</div>';

                html += '<div>'
                + item.description
                + '</div>';
            }

            jQuery(sender).append(html);
        }    
    });
}

<div id="getanewbrowser">
  <script type="text/javascript">
    getFeed($("#getanewbrowser"), 'http://feeds.feedburner.com/getanewbrowser')
  </script>
</div>

Use Google AJAX Feed API unless your RSS data is private. It's fast, of course.

https://developers.google.com/feed/

UPDATE [4/25/2016] Now better written and fully supported version with more options and abilities hosted at GitHub.jQRSS

I saw the Selected Answer by Nathan Strutz, however, the jQuery Plugin page link is still down and the home page for that site did not seem to load. I tried a few other solutions and found most of them to be, not only out-dated, but EASY! Thus I threw my hat out there and made my own plugin, and with the dead links here, this seems like a great place to submit an answer. If you're looking for this answer in 2012 (soon to b 2013) you may notice the frustration of dead links and old advice here as I did. Below is a link to my modern plugin example as well as the code to the plugin! Simply copy the code into a JS file & link it in your header like any other plugin. Use is EXTREMELY EZ!

jsFiddle

Plugin Code
_{2/9/2015 - made long overdue update to check for console before sending commands to it! Should help with older IE issues.}

(function($) {
    if (!$.jQRSS) { 
        $.extend({  
            jQRSS: function(rss, options, func) {
                if (arguments.length <= 0) return false;

                var str, obj, fun;
                for (i=0;i<arguments.length;i++) {
                    switch(typeof arguments[i]) {
                        case "string":
                            str = arguments[i];
                            break;
                        case "object":
                            obj = arguments[i];
                            break;
                        case "function":
                            fun = arguments[i];
                            break;
                    }
                }

                if (str == null || str == "") {
                    if (!obj['rss']) return false;
                    if (obj.rss == null || obj.rss == "") return false;
                }

                var o = $.extend(true, {}, $.jQRSS.defaults);

                if (typeof obj == "object") {
                    if ($.jQRSS.methods.getObjLength(obj) > 0) {
                        o = $.extend(true, o, obj);
                    }
                }

                if (str != "" && !o.rss) o.rss = str;
                o.rss = escape(o.rss);

                var gURL = $.jQRSS.props.gURL 
                    + $.jQRSS.props.type 
                    + "?v=" + $.jQRSS.props.ver
                    + "&q=" + o.rss
                    + "&callback=" + $.jQRSS.props.callback;

                var ajaxData = {
                        num: o.count,
                        output: o.output,
                    };

                if (o.historical) ajaxData.scoring = $.jQRSS.props.scoring;
                if (o.userip != null) ajaxData.scoring = o.userip;

                $.ajax({
                    url: gURL,
                    beforeSend: function (jqXHR, settings) { if (window['console']) { console.log(new Array(30).join('-'), "REQUESTING RSS XML", new Array(30).join('-')); console.log({ ajaxData: ajaxData, ajaxRequest: settings.url, jqXHR: jqXHR, settings: settings, options: o }); console.log(new Array(80).join('-')); } },
                    dataType: o.output != "xml" ? "json" : "xml",
                    data: ajaxData,
                    type: "GET",
                    xhrFields: { withCredentials: true },
                    error: function (jqXHR, textStatus, errorThrown) { return new Array("ERROR", { jqXHR: jqXHR, textStatus: textStatus, errorThrown: errorThrown } ); },
                    success: function (data, textStatus, jqXHR) {  
                        var f = data['responseData'] ? data.responseData['feed'] ? data.responseData.feed : null : null,
                            e = data['responseData'] ? data.responseData['feed'] ? data.responseData.feed['entries'] ? data.responseData.feed.entries : null : null : null
                        if (window['console']) {
                            console.log(new Array(30).join('-'), "SUCCESS", new Array(30).join('-'));
                            console.log({ data: data, textStatus: textStatus, jqXHR: jqXHR, feed: f, entries: e });
                            console.log(new Array(70).join('-'));
                        }

                        if (fun) {
                            return fun.call(this, data['responseData'] ? data.responseData['feed'] ? data.responseData.feed : data.responseData : null);
                        }
                        else {
                            return { data: data, textStatus: textStatus, jqXHR: jqXHR, feed: f, entries: e };
                        }
                    }
                });
            }
        });
        $.jQRSS.props = {
            callback: "?",
            gURL: "http://ajax.googleapis.com/ajax/services/feed/",
            scoring: "h",
            type: "load",
            ver: "1.0"
        };
        $.jQRSS.methods = {
            getObjLength: function(obj) {
                if (typeof obj != "object") return -1;
                var objLength = 0;
                $.each(obj, function(k, v) { objLength++; })
                return objLength;
            }
        };
        $.jQRSS.defaults = {
            count: "10", // max 100, -1 defaults 100
            historical: false,
            output: "json", // json, json_xml, xml
            rss: null,  //  url OR search term like "Official Google Blog"
            userip: null
        };
    }
})(jQuery);

USE

//  Param ORDER does not matter, however, you must have a link and a callback function
//  link can be passed as "rss" in options
//  $.jQRSS(linkORsearchString, callbackFunction, { options })

$.jQRSS('someUrl.xml', function(feed) { /* do work */ })

$.jQRSS(function(feed) { /* do work */ }, 'someUrl.xml', { count: 20 })

$.jQRSS('someUrl.xml', function(feed) { /* do work */ }, { count: 20 })

$.jQRSS({ count: 20, rss: 'someLink.xml' }, function(feed) { /* do work */ })

$.jQRSS('Search Words Here instead of a Link', function(feed) { /* do work */ }) // TODO: Needs fixing

Options

{
    count: // default is 10; max is 100. Setting to -1 defaults to 100
    historical: // default is false; a value of true instructs the system to return any additional historical entries that it might have in its cache. 
    output: // default is "json"; "json_xml" retuns json object with xmlString / "xml" returns the XML as String
    rss: // simply an alternate place to put news feed link or search terms
    userip: // as this uses Google API, I'll simply insert there comment on this:
        /*  Reference: https://developers.google.com/feed/v1/jsondevguide
            This argument supplies the IP address of the end-user on 
            whose behalf the request is being made. Google is less 
            likely to mistake requests for abuse when they include 
            userip. In choosing to utilize this parameter, please be 
            sure that you're in compliance with any local laws, 
            including any laws relating to disclosure of personal 
            information being sent.
        */
}

(function(url, callback) {
    jQuery.ajax({
        url: document.location.protocol + '//ajax.googleapis.com/ajax/services/feed/load?v=1.0&num=10&callback=?&q=' + encodeURIComponent(url),
        dataType: 'json',
        success: function(data) {
            callback(data.responseData.feed);
        }
    });
})('http://news.hitb.org/rss.xml', function(feed){ // Change to desired URL
    var entries = feed.entries, feedList = '';
    for (var i = 0; i < entries.length; i++) {
        feedList +='<li><a href="' + entries[i].link + '">' + entries[i].title + '</a></li>';
    }
    jQuery('.feed > ul').append(feedList);
});


<div class="feed">
        <h4>Hacker News</h4>
        <ul></ul>
</div>

I agree with @Andrew, using Google is a solid, reusable way to do it with the huge benefit that you get JSON back instead of XML. An added advantage of using Google as a proxy is that services that might block your direct access to their data are unlikely to stop Google. Here is an example using ski report and conditions data. This has all of the common real world applications: 1) Third party RSS/XML 2) JSONP 3) Cleaning strings and string to array when you can't get the data exactly the way you want it 4) on load add elements to the DOM. Hope this helps some people!

<!-- Load RSS Through Google as JSON using jQuery -->
<script type="text/javascript">

    function displaySkiReport (feedResponse) {

    // Get ski report content strings
    var itemString = feedResponse.entries[0].content;
    var publishedDate = feedResponse.entries[0].publishedDate;

    // Clean up strings manually as needed
    itemString = itemString.replace("Primary: N/A", "Early Season Conditions"); 
    publishedDate = publishedDate.substring(0,17);

    // Parse ski report data from string
    var itemsArray = itemString.split("/");


    //Build Unordered List
    var html = '<h2>' + feedResponse.entries[0].title + '</h2>';
    html += '<ul>';

    html += '<li>Skiing Status: ' + itemsArray[0] + '</li>';
    // Last 48 Hours
    html += '<li>' + itemsArray[1] + '</li>';
    // Snow condition
    html += '<li>' + itemsArray[2] + '</li>';
    // Base depth
    html += '<li>' + itemsArray[3] + '</li>';

    html += '<li>Ski Report Date: ' + publishedDate + '</li>';

    html += '</ul>';

    $('body').append(html);    

    }


    function parseRSS(url, callback) {
      $.ajax({
    url: document.location.protocol + '//ajax.googleapis.com/ajax/services/feed/load?v=1.0&num=10&callback=?&q=' + encodeURIComponent(url),
    dataType: 'json',
    success: function(data) {
      callback(data.responseData.feed);
    }
      });
    }

    $(document).ready(function() {              

        // Ski report
        parseRSS("http://www.onthesnow.com/michigan/boyne-highlands/snow.rss", displaySkiReport);

    });

</script>

jFeed is somewhat obsolete, working only with older versions of jQuery. It has been two years since it was updated.

zRSSFeed is perhaps a little less flexible, but it is easy to use, and it works with the current version of jQuery (currently 1.4). http://www.zazar.net/developers/zrssfeed/

Here's a quick example from the zRSSFeed docs:

<div id="test"><div>

<script type="text/javascript">
$(document).ready(function () {
  $('#test').rssfeed('http://feeds.reuters.com/reuters/oddlyEnoughNews', {
    limit: 5
  });
});
</script>

I'm using jquery with yql for feed. You can retrieve twitter,rss,buzz with yql. I read from http://tutorialzine.com/2010/02/feed-widget-jquery-css-yql/ . It's very useful for me.

<script type="text/javascript" src="./js/jquery/jquery.js"></script>
<script type="text/javascript" src="./js/jFeed/build/dist/jquery.jfeed.pack.js"></script>
<script type="text/javascript">
    function loadFeed(){
        $.getFeed({
            url: 'url=http://sports.espn.go.com/espn/rss/news/',
            success: function(feed) {

                //Title
                $('#result').append('<h2><a href="' + feed.link + '">' + feed.title + '</a>' + '</h2>');

                //Unordered List
                var html = '<ul>';

                $(feed.items).each(function(){
                    var $item = $(this);

                    //trace( $item.attr("link") );
                    html += '<li>' +
                        '<h3><a href ="' + $item.attr("link") + '" target="_new">' +
                        $item.attr("title") + '</a></h3> ' +
                        '<p>' + $item.attr("description") + '</p>' +
                        // '<p>' + $item.attr("c:date") + '</p>' +
                        '</li>';
                });

                html += '</ul>';

                $('#result').append(html);
            }
        });
    }
</script>

I advice you to use FeedEk. After Google Feed API is officially deprecated most of plugins doesn't work. But FeedEk is still working. It's very easy to use and has many options to customize.

$('#divRss').FeedEk({
   FeedUrl:'http://jquery-plugins.net/rss'
});

With options

$('#divRss').FeedEk({
  FeedUrl:'http://jquery-plugins.net/rss',
  MaxCount : 5,
  ShowDesc : true,
  ShowPubDate:true,
  DescCharacterLimit:100,
  TitleLinkTarget:'_blank',
  DateFormat: 'MM/DD/YYYY',
  DateFormatLang:'en'
});

Use google ajax api, cached by google and any output format you want.

Code sample; http://code.google.com/apis/ajax/playground/#load_feed

<script src="http://www.google.com/jsapi?key=AIzaSyA5m1Nc8ws2BbmPRwKu5gFradvD_hgq6G0" type="text/javascript"></script>
<script type="text/javascript">
/*
*  How to load a feed via the Feeds API.
*/

google.load("feeds", "1");

// Our callback function, for when a feed is loaded.
function feedLoaded(result) {
  if (!result.error) {
    // Grab the container we will put the results into
    var container = document.getElementById("content");
    container.innerHTML = '';

    // Loop through the feeds, putting the titles onto the page.
    // Check out the result object for a list of properties returned in each entry.
    // http://code.google.com/apis/ajaxfeeds/documentation/reference.html#JSON
    for (var i = 0; i < result.feed.entries.length; i++) {
      var entry = result.feed.entries[i];
      var div = document.createElement("div");
      div.appendChild(document.createTextNode(entry.title));
      container.appendChild(div);
    }
  }
}

function OnLoad() {
  // Create a feed instance that will grab Digg's feed.
  var feed = new google.feeds.Feed("http://www.digg.com/rss/index.xml");

  // Calling load sends the request off.  It requires a callback function.
  feed.load(feedLoaded);
}

google.setOnLoadCallback(OnLoad);
</script>

zRSSfeed is built on jQuery and the simple theme is awesome.
Give it a try.

The jQuery-rss project is pretty lightweight and doesn't impose any particular styling.

The syntax can be as simple as

$("#rss-feeds").rss("http://www.recruiter.com/feed/career.xml")

See a working example at http://jsfiddle.net/jhfrench/AFHfn/

jQuery Feeds is a nice option, it has a built-in templating system and uses the Google Feed API, so it has cross-domain support.

Superfeedr has a jquery plugin which does that very well. You won't have any Cross Origin Policy issue and the updates are propagated in realtime.

jFeed is easy and has an example for you to test. But if you're parsing a feed from another server, you'll need to allow Cross Origin Resource Sharing (CORS) on the feed's server. You'll also need to check browser support.

I uploaded the sample but still did not get support from IE in any version when I changed the url in the example to something like example.com/feed.rss via the http protocol. CORS should be supported for IE 8 and above but the jFeed example did not render the feed.

Your best bet is to use Google's API:
https://developers.google.com/feed/v1/devguide

See:
https://github.com/jfhovinne/jFeed
http://en.wikipedia.org/wiki/Cross-origin_resource_sharing
http://en.wikipedia.org/wiki/Same_origin_policy
http://caniuse.com/cors