If given a choice between a web app and a windows app, I find that I normally prefer the Windows app to the web app - the user experience and performance of a good windows app is normally pretty hard to match on the web (although there are some very cool web apps).
I've just started using NewsGator for managing RSS feeds. I've used FeedDemon before and acutally bought a copy (before NewsGator bought them), but have never really been a fan of web based RSS Readers - until now.
The thing that really sold me on Newsgator was the ability to synchronise my feeds wherever I am using the online service.
This means I can download and install FeedDemon (which is a great RSS reader on its own), and use it to add and read feeds (it even imports them from the IE feed store - cool!). Then using my NewsGator Online account I can sychronise not only the RSS Feeds that I read, but the articles in the feeds that I've read with the Newsgator Server. I can then use NewsGator Go for Windows Mobile to keep track of my feeds while I'm having a coffee out of the office.
Now some of you may be used to using Outlook for your RSS feeds (and this is a great way to get them), so NewsGator also have an Outlook client as well. (As a sideline, Mauricio has been using NewsGator Enterprise Server for a couple of years now, and loves it. NewsGator Enterprise Server also integrates into Exchange Server - and has some very cool features such as mobile web interface and sync via ActiveSync).
But the glue that makes all these apps work is the services - the synchronization of the feeds and the status of those feeds via web services. The service is what prevents me from having to mark stories as read - when I've read them in one place, they are read everywhere, saving me lots of time and frustration.
The software is also flexible to allow you to read some feeds at home (personal feeds) and some feeds at work (assuming you have time in your job to read RSS feeds), but use the same service to sync them all.
Yes, I could use the NewsGator Online service exclusively, however even though the new NewsGator AJAX application is nice, its still not as convenient as having the performance of the FeedDemon. But with NewsGators software+services approach, I can use whatever works best for me.
I recommend that you give it a go if you are looking at RSS readers. Its easily the best I've used. Now I've got to go and purchase my NewsGator Go for Windows Mobie... have fun!