Depending on how well-formed the information in these feeds are (e.g., Are all the links in the form of http://.../? Do you know if they will all be in href or link tags? Are all the links in the feeds going to be to other feeds? etc.), I'd recommend anything from a simple regex to a straight-up parsing module to extract links from the feeds.
As far as parsing modules go, I can only recommend beautiful soup. Though even the best parser will only go so far--esp in the case I mentioned above, if you can't guarantee all links in the data are going to be links to other feeds; then you have to do some additional crawling and probing on your own.
