I discovered yet another wordpress fail (after finding out they don't support day light savings earlier in the week).
It puts relative links in rss feeds! Which means most feed readers won't be able to load the images or hook up local links in the feed, i.e. the default wordpress install doesn't generate a valid rss feed if you have images in your posts (unless you manually change them to absolute links)
Thankfully I found a plugin to fix it: http://scott.yang.id.au/code/url-absolutifier/
But it's still a shocker!