Warning: rant
What drives me absolutely insane, is projects that do not have a way to report bugs. It is extremely rare that any software will be bug free, so please please provide a bug reporting system.
WordPress has a bug in the opml generator, in that xml reserved chars are not escaped, so urls with & < > etc cause the opml file to be invalid xml. Here is a patch to fix it. (it is a hack)
WordPress admins, if you read this, PLEASE setup a bug system.
Update:
Apparently wordpress does have a bug reporting system located at http://mosquito.wordpress.org/main_page.php. (Thanks to the couple people who pointed this out to me.) Though I still have not found a link to it, nor does searching their site turn up any mention of it.