MediaWiki, which runs the famous Wikipedia-sites, has an API available, which makes it possible to get RSS-feeds. Through these RSS-feeds, you can even get your personal watchlist.
The API is documented, but I found it more useful to visit the actual API.php script (this is for the English Wikipedia, you can just change the en at the beginning of the URL).
To get your personal watchlist as an RSS-feed, you have to set up a personal token on your Preferences->Watchlist page, and input a token. The nice coders at MediaWiki thought you wanted some privacy, so you can use the given 25-character tokens.
Then go to the feed URL, which could be something like http://en.wikipedia.org/w/api.php?action=feedwatchlist&wlowner=kezze&wltoken=e5d7a983d213352dc135691217cb21629c71ccfc , i.e. http://en.wikipedia.org/w/api.php?action=feedwatchlist&wlowner=USERNAME&wltoken=TOKEN . Substitute USERNAME and TOKEN with your own data.
My personal preference is to get 72 hours (which is the maximum) of updates and all the revisions (not only the most recent one). This way, the URL is something like
http://en.wikipedia.org/w/api.php?action=feedwatchlist&allrev&hours=72&wlowner=USERNAME&wltoken=TOKEN – and for the Danish Wikipedia, which I’m mostly using, the URL is http://da.wikipedia.org/w/api.php?action=feedwatchlist&allrev&hours=72&wlowner=USERNAME&wltoken=TOKEN.