There are comment links in the rss feed. Some readers show them and some don't. If anyone can give me the exact syntax that would work in the latter, I'll try it.
<item>
<title>Ask PG: Link to comments in RSS</title>
<link>http://news.ycombinator.com/item?id=112684</link>
<comments>http://news.ycombinator.com/item?id=112684</comments>
<description>
<a href="http://news.ycombinator.com/item?id=112684">comments</a>
</description>
</item>
<item>
<title>Ask PG: Link to comments in RSS</title>
<link>http://news.ycombinator.com/item?id=112684</link>
<description><![CDATA[<a href="http://news.ycombinator.com/item?id=112684">Comments</a>]]></description>
</item>