Note: this plugin has been replaced by the Atom 1.0 for Wordpress plugin (which has the same functionality, only better).
The Atom syndication format has an extension which allows feeds to syndicate post comments and specify relationships between entries. I have written a little plugin for WordPress 2.0.x which will syndicate recent comments and entries in one feed, with proper reply relationships expressed in the feed.
This is still an alpha-quality release. I'm not even sure it produces correct results. I don't know of any feed-readers which support threading at this point. This makes it pretty difficult to test the output. I'm using it on this blog, so check out the BSBlog Atom feed for sample output.
The plugin aggregates posts and recent comments all in the main feed. It would probably be possible to aggregate the feed comments separately and use the "replies" link relation to point to separate comment feeds for each post.