If you've ever clicked on a link in your RSS reader and that link is associated with a site that uses Feedburner, you've probably noticed that the initial URL to appear in your browser's address bar was related to the feed and not the final URL. That's because Feedburner uses the URL to track the click.
The redirect was a 302, a temporary redirect. But now Feedburner is updating the URLs to be permanent 301 redirects.
Feedburner, which is owned by Google, says that the reason for the change was that some search engines index the feeds, which affects the popularity of a site.
If you use Feedburner, you don't have to do anything special. The update is automatic.