The Walker site uses a custom-built content management system using Apache Ax Kit? - a very cool XML application server. It provides on-the-fly conversion of XML to any format - HTML, WAP, text, or other XML. We're using it to create our main pages, RSS feeds, AJAX search and sort, and much more.
It also allows us to easily embed RSS feeds. We just grab the raw XML of the feed and transform it and style it to fit the page we're building, and done:
This same concept is applicable to many CMS these days, the idea of a page being made up of multiple disparate feeds is no longer uncommon. This provides a great way to keep your pages fresh and drive visitors back and forth between the blog and the main site.
Finally, we've just launched a new site that works in both directions: we're not only embedding RSS feeds in our .wac pages, we're using .wac pages to push RSS back into Wordpress templates. It's been a complicated learning curve, but in the end we get the best of both worlds - a thoroughly customized WP blog so tightly integrated with the rest of the site they're (hopefully) indistinguishable. The two systems don't have to know how the other is working, they just expect a certain kind of RSS feed and know how to handle it.