WordPress does have a default RSS widget you can use to display RSS feeds in your sidebar. It does have some limitations though. Super RSS Reader is just the plugin you need to add more a sophisticated RSS widget to your site. Super RSS Reader uses jQuery and can handle multiple RSS feeds per widget. It is highly customizable too.
Super RSS Reader is highly customizable. It has built-in color styles and supports external CSS styles too. RSS and ATOM feeds are supported. RSS feeds can be shown in tabbed style if you add multiple feeds to the plugin. The ticker like effect for RSS entries is pretty cool too.
Super RSS Reader is pretty useful if you need something more sophisticated than the default RSS widget in WordPress. It does what it promises well.