Still, exceptionally low cost compared to running pretty much any website's massive CSS and JS files. A single image in most cases will take more than the entire RSS feed before compression.
That said, I would like to see a new standard (a new one would be needed [1]) that only gets the difference from what you last read - I think that would really take RSS feeds to new places of usefulness. There's no reason why you couldn't send the server an ID (not timestamp to avoid issues with timezones, clock stretching, forward/backward time setting, etc) of the last request and have it send back everything since (within reason).