I have been playing around with this concept for quite a while and finally decided to put it down in an article on MSDN:
Custom Calendar Providers for Outlook 2003

Outlook 2003 has really cool integration with SharePoint in that it can consume SharePoint event lists and contact lists, bringing them into Outlook as calendars and contact folders.  Outlook is able to do this using the Lists Web service exposed by WSS.  Wouldn't it be cool if you could write your own “Lists“ service that served up your own “event“ data for Outlook to consume?

That's exactly what this article show you how to do.  In fact, the code download associated with this article (available at http://www.microsoft.com/downloads/details.aspx?FamilyId=180A1C22-D160-4C4B-9C1B-3C52CCB23CA5&displaylang=en) already implements just such a service with a pluggable architecture so that all you have to do is implement your own CalendarProvider-derived class, implement the GetEvents method, and be off and running!  The code download includes a few sample providers, including ones for consuming RSS feeds (so you can view an RSS feed as a calendar), one for consuming posts to an NNTP newsgroup (so you can view newsgroup postings on a calendar), one for System Restore Points, one for event logs, and one for MSN Messenger chat history.

Here's an example of a calendar displaying an RSS feed:

Let me know what you think!