Just noticed that Dave Winer is wondering which feed readers support the RSS 2.0 comments element, so I thought I'd chime in and mention that FeedDemon is among the many aggregators which support it. When an item contains a comments element, FeedDemon displays a "comment bubble" icon which links to the page containing the comments for that item.
When an item uses slash:comments or the Atom threading extensions, FeedDemon displays a comment count next to the comment icon, and the count is refreshed when the feed updates. Here's an example from my feed, which shows an item with four comments:
Finally, FeedDemon displays the orange feed icon with a small comment bubble superimposed on it for items which expose a separate feed for comments on that item (via wfw:commentRss or an Atom "replies" link). Subscribing to the comment feed in FeedDemon is as simple as clicking this icon. Here's an example from Sam Ruby's feed showing both a comment count and a comment feed: