Whenever possible, Bob, I like to keep everything on one site. This is just my personal opinion, but there are several reasons for this and here are a couple of them (please note these are generic reasons and not aimed at any site/service in particular):
1. What if the service you are using gets hacked? 2. What if they get sold? 3. What if they start charging? 4. What if they do some stuff with your feed and add their own monetization? (Link/Ad/other) 5. Potential duplicate content penalty? 6. Who is the original? You or the other domain?
Those are just a few that come to mind.
So to answer your question:
Yes. I believe there is a benefit to keeping things on your own site. It may be more work, but you'll get the hang of it.
FWIW: I found both HTML and CSS much much harder to learn than RSS.
Thanks for the good advice. My blog goes through feedburner.com but it is hosted on my site. So the URL is mine and I have complete access to change things if needed in the future.
Interestingly, I also have the RSS Feed on my site with my URL complements of blogger.com. I got started with FeedBurner.com and am afraid to drop their service and simply point directly to my RSS Feed.
My concern is with people, directories, and feed readers that have the FeedBurner URL right now. If I change, I worry about what will happen to all the linkage from other sites. Keep in mind that I can't do a Redirect because it is on the FeedBurner Site.
Since you have no control over the link on Feedburner (meaning you can't have access to their server), then you can only request those who link to your rss feed change the url of the feed to the "new" one on your site.
I know that's a pain in the butt, but it's one of those things when someone else has control over "your" url.
(PS - Yes, the SE's are indexing those feeds...and it's not you benefitting from the link popularity/theming.)