For one thing, the main thing I want an RSS reader to be is really an RSS-aware bookmark manager. I much prefer to read blogs in their native HTML, because the different styles of the sites help me keep them straight, and make for a much richer experience. So I mostly use Bloglines just to alert me when blogs have been updated, then take a quick look at the RSS to see if it's a topic I'm likely to want to read, and head over to the site itself if it is.
But there are little things about Bloglines that make me appreciate it as well. It uses favicon.ico images for the feeds themselves (something I've been looking for), to help keep things from becoming too homogenized. And just this morning (via a comment at diveintomark), I discovered an extra nice little touch: when Bloglines reads your RSS, it uses an agent string that identifies itself as Bloglines (natch), but also includes the number of subscribers to the feed they are reading:
Bloglines/1.0 (http://www.bloglines.com; 44 subscribers)
Now this is a very slight thing, and only of interest to dorks who both publish RSS and read their server logs, but it is a pleasing bit of polish and it makes me appreciate Bloglines more.