Do note that Achiel's options assumed you wanted to consume RSS, whereas you want to generate RSS. For a RSS feed to be read externally, you need to have a link that returns an XML output inside your application. You could adapt the deeplinking module so that instead of presenting you with a form, it returns a XML file/page, which you fill in Java.
You mean publishing data as RSS feed, I guess.
The RSS standards are straightforward (wikipedia), so build the internal entities (channel, title, item) with associations, write a customwidget that walks thru the entities and output them as XML. Put that in a module and copy your own data to the rss objects.
The other way around is to create the XML files with XML export and let your webserver point the directory with created XML files as feeds.
No, so feel free to build a nice RSS module :). If you just want to embed te RSS, you could maybe use a client-side RSS reader, (for example http://p3k.org/rss/, but i think there might be better libaries around) and load it using a HTML Snippet widget or IFrame.
Top of my head you can do one of three different things:
From the looks of it you're best off going with the first option.