Feeds are a way for you to keep track of changes or additions to content you care about. (RSS is a popular feed type; "RSS" stands for "Really Simple Syndication.") By "subscribing" to the feed for content in the community, you're asking to have easy access to information about content changes or additions. A feed brings you a list of updates that you can view in a feed reader (also known as an aggregator). See How do I use the feeds I get? for more info. Subscribing to feeds is an alternative to receiving email notifications, in which an email is sent each time content is changed or added (although you can also do both). You might prefer email notifications if you want to receive updates in a more "passive" but immediate way.
You can subscribe to feeds for content lists (such as a list of blogs, discussions, documents, or status updates you'd view), spaces, or for discussion threads.