Some feed readers require that you click through all of one feed's items at a time. Others allow you to see whatever individual items are most recent, regardless of what source feed they came from. This is the prefered method of most news bloggers - but it could serve you well too.
There's no way to read every item in every feed you've subscribed to, so after reading what's most important - try switching to what's most recent!
Try reading those items in order of appearance, until you don't want to read them any more. Then stop. Maybe mark all as ready, maybe don't worry about it. Life's too short to worry about it, aren't you glad you read what you were able to find the time to read?
Seven Tips for Making the Most of Your RSS Reader