As reported on Lifehacker, Feedbooks will create a nice PDF of an RSS feed. I found it a little convoluted once I signed up for an account, but figured out I needed to choose to create a newspaper, then click the RSS tab. I was then able to create a custom PDF with one of 9 different fonts, font sizes, and margins. Here's the PDF created for my feed: 
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The PDF is quite nice, with a clickable Table of contents. Both a drawback and a nice feature is that each post is on its own page, so you'll waste some paper if there are lots of short posts. Doesn't appear to support images either, but at least Walt can print a nice copy of my Typepad blog, should he desire!.
If you don't want to sign up for an account you can still create a PDF, but won't be able to customize the font, etc. Not really a biggie. Neat tool.
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