I recently noticed that my RSS feeds weren't displaying links properly because I often use relative links (/address instead of http://domain.com/address).  I searched and found a WordPress support topic that linked to Robert Accettura's AbsoluteRSS plugin.  That fixed it.  It basically just adds the site url to relative links, but it only affects the feeds, not the actual posts.  It currently doesn't deal with relative links that have ./ or ../, but I don't care because I don't use them.