RSS Guard. I tried a few, then decided that what I really wanted was just a simple app that would run locally, doesn't run in browser, doesn't rely on me creating an account to sync with some external server, and doesn't have limits to the number of feeds I can add.
It was pretty painless to set up. The only downside is that if I ever want to transfer my feed list to a reader on my phone or another PC, I would have to export the list and then import it, but that's not hard.