NOTE: This post refers to using Feedburner to set this up. As of Oct. 20, 2012, Feedburn will be pulling its API, which likely means the service will cease to exist or won’t be worth using. So I recommend Feedblitz. The video will soon be updated to reflect this new information.
A lot of themes already come with your feed working. If you click on this symbol , and don’t get an error, then you are okay. But if you need to burn your own feed, or would like more statistics and control over the feed, Feedburner is your solution.