So, if you don't send a block (which you happen to in the above code), the exception fails silently.  Wouldn't it be better to at least return an empty feed?

I did this in a script I run to download my pinboard links

    begin
      response = Utils::Connection.new(@url,5)
      @feed = RSS::Parser.parse(response.body, false)
    rescue RSS::NotWellFormedError, Errors::ConnectionError => e
      puts "#{e.class}\t#{e.message}\t#{@url}\t#{e.backtrace.inspect}"
      # null object
      @feed = RSS::Rss.new('1.0')
    end