You can accomplish that with a special template syntax. It's best understood by example, so here's an example for displaying the latest from the WebmasterSite.net links directory:
<!-- BEGIN http://links.webmastersite.net/rssfeed.php RSS -->
<p>WebmasterSite.net links directory updates:</p>
<!-- BEGIN ROW -->
From {RSSDATE}:<br >
<a href="{RSSLINK}">{RSSTITLE}</a> - {RSSDESCRIPTION}<br >
<!-- END ROW -->
<!-- END http://links.webmastersite.net/rssfeed.php RSS -->
<p>WebmasterSite.net links directory updates:</p>
<!-- BEGIN ROW -->
From {RSSDATE}:<br >
<a href="{RSSLINK}">{RSSTITLE}</a> - {RSSDESCRIPTION}<br >
<!-- END ROW -->
<!-- END http://links.webmastersite.net/rssfeed.php RSS -->
Any field within the RSS feed can be accessed with {RSS + FIELDNAME + }. Be sure to capitalize the field name. In addition to those direct-from-feed fields, there are several template variables WSN generates for you that interpret the feed data:
{RSSDATE} - The pubDate from the feed re-parsed into your own standard date format. You can pass a custom date format as a parameter.
{RSSDESCRIPTION} - The description or text.
-- Optional parameter: number of characters. For example {RSSDESCRIPTION[100]} shortens description to 100 characters.
{RSSDESCRIPTIONSTRIPPED} - The description or text, with all HTML removed.
-- Optional parameter: number of characters. For example {RSSDESCRIPTION[100]} shortens description to 100 characters.
{RSSLINK} - The URL to link to.
{RSSTITLE} - The title of the article.
The feed data is cached every 30 minutes to keep it from slowing down your site. Note that the cached data is written to the /cache/ subdirectory and is cleared when you clear the cache on the Admin -> Maintenance -> Regenerate page... except in versions older than WSN 9.0 it's in the /feedcaches/ subdirectory instead.