A while back, I shared a little way of customising the individual title of each item in your WordPress feed. That was based on filtering the existing title, and prepending the requisite content, which in that example was the post type (Gallery, Video, etc.).
I’m now using a variant of that same technique in The Stage’s new RSS feeds. News, Features, and Columns and their respective subcategories are all implemented using WordPress’s built-in categories system. The relevant category (News, Arts 2.0, Obituaries, etc.) precedes the relevant article’s headline. It’s not an ideal solution: if you grab a category feed, e.g., the RSS feed for Shenton’s View, every article will still contain the category name, even though it’s implicit from the context in which you’re requesting the feed.
Recently I’ve had an additional need, though: to add additional XML elements to an RSS feed in a way that gives additional flexibility to custom clients, but doesn’t break any feed readers.