Often I am only interested in certain categories of posts from a blog. Is there any feed reader that allows this? Also, is this information even included in RSS/ATOM?
I don't know of any reader that has such capacities. Sometimes blogs themselves offer a feed specific to one category.
I personally use Feed Rinse for some feeds to filter out posts that I don't want. There you can block (or allow) items based on title, tag, author or content. Maybe that could help you as well.