Most blogging software (like WordPress) has this inbuilt. In others, it's pretty easy to set up, and they will have lots of instructions for doing so.
[quote[What is benefit of this to my blog?[/QUOTE]
It means that people can keep track of your blog posts without having to visit your site. In other words, they take your blog with them, so they don't forget about you. They will see your blog posts coming in sort of like emails, and click on then if they are interested. Through this means, you can keep drawing them back to your site.