I noticed a design change in MOSS 2007 from the beta releases. The RSS web part can only consume feeds from anonymous lists or when using Kerberos (instead of NTLM).
http://technet2.microsoft.com/Office/en-us/library/e8493b73-ad1a-4642-8141-05405f0026781033.mspx?mfr=true. Search for "RSS Web Part"
I suppose this opens for third party RSS web parts (again)