Yesterday one of my friends, Georgi Chorbadzhiyski has paid attention to my new blog RSS feeds, and has informed me that they suck. Especially the cyrillic support there.
Because WordPress is initially lacks cyrillic support (see my article about how I did it working with help of the community), it seems I either forgot, either there it was initially missing, to tune up the RSS feeds.
So, I had to dig the sources. And I digged out the following problem: WordPress RSS feeds output no encoding tag. So the browsers assume what they want, and mine was assuming UTF-8. I had to add the encoding tag to the WordPress RSS source.
If you have the same problem, this is your solution (it’s divided on two):

1. Modify wp-rss.php, located in your main blog dir. Put the following text:

    encoding="windows-1251"

   immediately after the following text:

   <?xml version="1.0"

   Please note that between the text above and the encoding word you must put one space.

2. Modify wp-rss2.php, located in your main blog dir. Put the following text:

    encoding="windows-1251"

   immediately after the following text:

   <?xml version="1.0"

   Please note that between the text above and the encoding word you must put one space.

3. Modify wp-commentsrss2.php, located in your main blog dir. Put the following text:

    encoding="windows-1251"

   immediately after the following text:

   <?xml version="1.0"

   Please note that between the text above and the encoding word you must put one space.

After the modifications your RSS output should be in windows-1251 encoding, which should solve the cyrillic troubles you may have.