Inspired by Stuart Hamilton's post I got my first time practice today with Mozilla XUL extension programming: hacked together a working extension for firefox to enable right-click subscription of feeds. The context menu extension for Internet Explorer is already implemented and will be available with the next Rss Bandit release.
These extensions work the same way: if you have a default feed: Uri scheme handler registered, this handler will get called via the extensions. So it should work not only with Rss Bandit, but also with SharpReader, NewsGator and other popular aggregators that support the feed: Uri scheme!
Here are some screenshots:
Peace!
Update: the link to the extension should now work...