A few months ago Jeremy Zawodny posted his Movable Type template for a RSS feed of all comments regardless of their approval status. I liked the idea as a way to keep e-mail clutter to a minimum. I took the idea and created my own recent comments RSS feed template using no namespaces or CDATA. The feed validates.
I created a new index template and set the RSS file to regenerate with every index build. Every time you post your comments feed is rebuilt. For some people that will be not often enough but for me it works well.