Kevin Lynch writes

Many people are using blog readers to read entries (such as NetNewsWire or FeedDemon), which is a really efficient way to follow a large number of blogs and another example of how Internet applications are moving beyond the browser. These readers work by reading an XML feed that contains a list of recent entries.

Unfortunately, these feeds don't contain any of the comments that people make on the entries. So, you need to jump out of the blog reader and into a web browser to see if there even are any comments.

Interesting I thought that was what wfw:commentRss and slash:comments were for? The above functionality has been in RSS Bandit for a few months now. See the screenshot below for an example.

Note that the current version of RSS Bandit is v1.1.0.36, so this is an old screenshot.