ASP.Net RSS feed
The .NET Framework 3.5 has added a SyndicationFeed Class which allows you to create and/or consume feeds in Atom 1.0 and RSS 2.0 formats.
For built-in, there's nothing stopping you from using XmlDocument or XDocument (3.5) to build up the required XML for RSS. It's more work than it's worth though.
I use the Argotic Syndication Framework and serve the feeds through Generic Handlers (.ashx) with the content type set to text/xml.
The RSSToolkit is also nice. It comes with an RSSDataSource control if you're into that sort of thing. It also includes a control that will automatically insert the meta tag required for feed autodiscovery in browsers. I found the build provider for creating feeds to be a little kludgey however.