CaRP is a “Caching RSS Parser“, thus it’s name. It comes in a variety of flavours but I tested the free version.
The only problem I had was that my host had safe mode turned on and that caused some problems in the “installation” – creating the cache folders but the manual instructions did the trick.
The scripts come with an install and example page. To get real value check their online examples which show how you can combine two feeds and take the most recent, for example.