Guys, not sure if you have already noticed this plugin (no, it is not from me, but I think it is worth to mention it):
A Spanish guy has published a Spanish version of a plugin that provides statistics of the WordPress feeds: http://www.anieto2k.com/
Frank has translated the administration into German and English, the English download is available here:
The plugin seems to do a good job and records feed visits. OK, Feedburner states that they record the number of subscribers (and not visitors), however, it is impossible to get the real number of subscribers. Imagine someone is using a dial-up connection 10 times a day: 10 different IP addresses, how does Feedburner get the info that this is only one user? This is simply impossible although they state that their statistics are good. So Feedburner will count 10 subscribers in this case.
Give the mentioned plugin a try, although it does not provide any detailed statistics and does not break em down to used feed readers, bots, etc. Finally, it needs to be improved by someone ;-)