Attensa, an RSS reader for Microsoft Outlook, has added del.icio.us tags:
You can add tags to articles and access them using a pull down list using the Attensa Toolbar for Internet Explorer. When you tag articles with Attensa your bookmark list on Del.icio.us is updated and synchronized automatically. With the addition of tagging, Attensa gives you a set of tools for organizing your feeds and articles. Categories let you create a hierarchal [sic] structure using folders to keep feeds organized. Tags give you a more free form tool for keeping articles organized and they connect you with the del.icio.us social network.
Sadly Attensa only works with Outlook and IE. But it is free.