"As you can see, you have the option within 'deliver to' to deliver the alert to a feed. After you click 'create alert', you will be taken to the manage Google Alerts page where you will find the RSS URL you can copy and paste into your preferred RSS reader," informs Search Engine Land. (Feeds actually use Atom, not RSS.)
It's not clear why this feature was removed, but I wouldn't mind to see Google Reader back online. Quietly brilliant.