I think one of the things that is most challenging for feed publishers is getting the signal to noise ratio right for their subscribers.
This is tough, because, it's your feed, you want to publish whatever the hell you want to make available about yourself, but some of what you consider signal about yourself, some subscribers will consider noise.
This seems to happen mostly when an social feeds (of any sort) are spliced together with non-social (public broadcast) feeds, mainly because there is never a perfect intersection of the two groups that are subscribed to the feed.
I've seen it a lot with FeedBurner publishers who use our splicing service to put in flickr photos, del.icio.us links, and then end up yanking them out. It turns out that some people who read a publisher's blog don't really care that much about their family pictures unless they know them well personally or that's what they normally write about anyway. Some subscribers don't want to get all excited their favorite blogger has a new post, just to find out it's a new set of del.icio.us links.
The same goes for putting ads in feeds. Too many ads raises the noise to signal ratio, and people get annoyed. Feed items as ads (that is, when a new post is added as an ad with a [ad] tag or such and no additional content) adds even more noise, which is a good reason you don't see that many implementations of items containing only ads. It's why we generally don't recommend publishers embedding an ad more frequently than 1 every 3 or 4 posts unless they write page-length posts every time.
The more original and valuable your content is (the stronger the signal) the more you can get away with splicing in other sources (the more noise you can put in your feed) while still growing subscribers. This seems pretty obvious, but it's hard to get right.
Those are all mixes of published content with other media spliced in, or when a message that is more synchronous is mixed with with something mean to be asynchronous, but I also think this happens with like media and synchronousity as well.
For instance, I am generally not a fan of people being able to set their Facebook status from Twitter. I wish I could only see status messages set from Facebook itself. Why? Perhaps it's stupid but for me, Twitter generally adds a lot of noise when introduced outside the Twitter network. People don't have the same intent when sending a tweet as when updating their Facebook status - even though these functions seem exactly the same - they are two separate networks of people with different functionality and feel. Something about Twitter inside of Facebook isn't right. I'd like to keep these networks separate, but that's just me.
I've thought about this a lot, but my impetus for writing it is Russ adding his twitter messages to his feed and subsequently removing it. He asks why it annoys some people. For whatever reason, the noise to signal ratio got too high for some users, and they wrote in asking him to unsplice the Twitter messages. I can see this - Russ is a great (and entertaining) writer - and although he always puts a lot of personal information in his posts, it's the entertaining commentary and insights that make it interesting. If you are someone like me that only reads feeds on a mobile device, it doesn't take a lot of noise for me not to want to retrieve the next ten posts just to get past Twitter messages. Now, I may choose to follow him on Twitter, but I would consume those messages differently than his blog feed. That is perhaps on a different device, perhaps at a different time.
So what do I like as a subscriber? Because we're currently lacking an easy way to for a subscriber to easily filter some items from feeds and not others in their feed reader, I currently prefer it when people provide separate feeds for their separate networks so that I can pick and choose them. This isn't universal, and there are certainly exceptions, but I find it to generally be the case.
I think this will change over time, especially if things like cookies are ever introduced into feeds or even better - more regularity (or a defacto standard like a namespace extension) is put into item sources so that feed readers could better sort and filter feed items.
Happy New Year!