Yeah, it's both bandwidth and load. But my understanding (and I'm not a techie) is that it's not what's in the feed. Nearly all feeds are small text files.
Nick Bradbury created FeedDemon. Here's a post of his that deals with how to handle things:
Marc Fletcher of Bloglines is the other guy who has written on how to handle this. This bandwidth/load issue was a real problem about two years ago. They've figured out how to handle it now. You just have to look for it.
But as an example, Leo Laporte does a weekly podcast and tried to do the feeds himself and didn't quite set things up right. AOL was hosting the audio downloads and providing all that for free. But the bandwidth cost for just his feeds, just those little text files, was like $30,000 a month.