silverorange labs have done some experiments to test the HTTPS/SSL and HTTP Authentication support of RSS Readers. They also provide some feeds for doing your own tests.

Using HTTPS and HTTP Authentication together is an elegant and recommended way for setting up private and secure RSS feeds. This is very useful for getting updates on closed Wikis.

I am happy my favourite RSS reader NetNewsWire supports HTTPS and Authentication in the latest release but still lacks secure password storage in the keychain. Another problem persists on Mac OS X with sites using self-signed certificates. I have been talking about this issue before.