In RSS Bandit, I've subscribed to a feed on a website that uses cookies for authentication. When I view the website in RSS Bandit's embedded web browser or in Internet Explorer, I can see that I'm logged in.
When I do an "Update Feed" in RSS Bandit, I only see the topics that are appropriate to anonymous users. If I look at the network traffic in Wireshark, I see that RSS Bandit doesn't appear to be including the cookies when requesting the feed.
The website appears to be using BlogEngine.NET (http://www.codeplex.com/blogengine/)
(Upon further investigation, it appears that the blog engine isn't paying attention to the cookies anyway -- and I've raised this with the website owner, but I think there's still a bug in that RSS Bandit doesn't appear to be including them).
I tested this and RSS Bandit correctly sends cookies when a cookie exists for a different domain. What I noticed is that BlogEngine.NET blogs don't always set a cookie which may be part of the problem.