I’ve made a really tiny plugin to get exactly that. It adds two (or more) new rules to the rewrite_rules wordpress table, to make possible get feeds for several categories. You can even give a name to a feed and map it to a group of categories.
http://wp-plugins.net/index.php?id=270
Regards
Apart from that, if you need a rss for several categories you can use this code in a plugin file:
function feed_categories_rules(&$rules)
{
$rules['index.php/feed/(feed|rdf|rss|rss2|atom)/([0-9,]+)/?$'] = 'index.php?&feed=$matches[1]&cat=$matches[2]';
$rules['index.php/(feed|rdf|rss|rss2|atom)/([0-9,]+)/?$'] = 'index.php?&feed=$matches[1]&cat=$matches[2]';
return $rules;
}
add_filter('rewrite_rules_array', 'feed_categories_rules');
The function adds a two new rules to rewrite_rules so if you use a url like: http://www.example.com/index.php/feed/rss/4,5,6 you´ll get a feed with the content of 4,5 and 6 categories included their subcategories