Just ran into the same issue and stumbled across this thread.
To make a long story short, if you turn on the permalinks (and that's probably what you did), the feed link gets rewritten as well.
Go back to Options->Permalinks, scroll to the bottom of that page, and you'll notice there's a few lines of code (for mod_rewrite). This code must be pasted into your .htaccess file for the links to work again. WordPress conveniently has a link just below the code, for you to cut-and-paste it directly through a web form (provided you have a .htaccess file in your blog directory). Once the code has been pasted in your .htaccess file, the links will work again.
(I'm sure this has been covered a zillion times before, but it never hurts to repeat it, does it?)
Good stuff, Mr WordPress.