@Lady oh sure! I wouldn't say I'm an expert on what limits exist in deployed feed readers by any means, but I have looked for answers to this question before. I remember reading that the Windows RSS client library (everyone is surprised that this is a thing) had a file size limit, but I can't find the limit now. I also see various people talking about FeedBurner being limited to half or one megabyte, and I've heard iTunes limits podcast file sizes. In general my impression is that 0.5-1MB is probably safe for most readers but larger sizes might break some.
Separately, there are of course implications for your web host's bandwidth limits if you serve a large feed. Several popular feed readers fail to correctly implement HTTP cache validation, so they'll pull down the entire file regularly even when it hasn't changed. But even correctly implemented clients generally have to download the entire file even if only 1% of it has changed, so allowing the feed to grow unbounded can multiply your bandwidth usage by a lot.
As far as I know those are the only important considerations about feed size!