Besides the obvious benefits to this, one great side effect is that you never, ever see the output of applications (e.g., quiz results) or the other useless noise like "so-and-so is now friends with someone else you already know". The only drawback I've found is that you also don't see notifications about photos that your friends have uploaded. (You do see links that they post, however: just not Facebook-hosted photos. It's a bizarre omission.)
Anyway, I just had to explain to someone how to accomplish this feat, which made me realize how completely non-obvious Facebook has made this. Finding these feeds is a complete pain in the ass. They've really gone out of their way to hide the URLs you need to use.
So. You have to subscribe to three or four different feeds.
- Posts: Find the Posts feed by going to http://www.facebook.com/posted.php. On the upper right of the page is a gray box, and at the bottom of that box is a link entitled "My Friends' Links" with the RSS logo next to it. Copy that URL. Subscribe to it in your feed reader. This is the RSS URL for any links and (external) images that your friends post.
Notes: Find the Notes feed by going to http://www.facebook.com/notes.php and repeating the above. This is the RSS URL for things that your friends post via the "Notes" app, which is (I guess) the more blog-like way of posting long things to Facebook.
Notifications: Find the Notifications feed by going to http://www.facebook.com/notifications.php and repeating the above. This is the RSS URL for things like "so-and-so commented on your status". You might not care to subscribe to this one because you can get all of these kind of notifications in email.
Status Updates: This is the RSS URL for the "What are you doing?" Twitter-like part of Facebook. This is the one you probably care about, and it is trickier, because Facebook no longer links to the feed URL! Nice one guys. You have to construct this URL by editing one of the above URLs. E.g., take the "Notes" URL and change the part of the URL that says "friends_notes" to "friends_status". Keep the parts of the URL before and after that, including the magic numbers at the end.
There. Wasn't that SIMPLE?
Update, Jan 2013: Yeah, so, I guess none of that works at all any more. These days I do this with my facebook-rss.pl script, which requires you to create your own "app" first and is a giant pain in the ass. But it mostly works. Mostly.
Previously: How to use Livejournal with a feed reader.
See also: Facebook Connect comments RSS feed, finally.
And: Mirroring Twitter onto Facebook, plus bells, whistles.
And: How to block Facebook event invitations.