I intended that we'd have newsgroup support in the last version of RSS Bandit but eventually we had to pull it out so we could get the release out earlier. I can definitely promise that you will be able to subscribe to whatever newsgroups tickle your fancy in the Nightcrawler release of your favorite RSS reader.
I've checked in support to finally enable this functionality into CVS. There are still some bugs to work out such as dealing with various funky headers and binary attachments as well as design questions such as whether to merge the UI for subscribing to feeds and newsgroups or keep them separate.
Below is a screenshot showing the microsoft.public.xml newsgroup (note that the dates might be wrong)