First let me say I consider this sort of thing a bastardization of the format, and do not endorse it. Now that that’s out of the way…
For RSS 2.0 you want to edit the wp-rss2.php file (in your blog’s root directory). Towards the end you’ll find this section:
<?php if ( strlen( $post->post_content ) > 0 ) : ?>
<content:encoded><![CDATA[<?php the_content('', 0, '') ?>]]></content:encoded>
<?php else : ?>
<content:encoded><![CDATA[<?php the_excerpt_rss() ?>]]></content:encoded>
<?php endif; ?>
I assume you’re providing full feeds (a given for what you’re doing here), so you only need to hit the first <content:encoded> tag. Replace that line with:
<content:encoded><![CDATA[<link rel="stylesheet" href="<?php bloginfo('siteurl'); ?>/site.css" type="text/css" title="styled" />
<?php the_content('', 0, '') ?>]]></content:encoded>
For RDF/RSS 1 (wp-rdf.php), the alteration is exactly the same as for RSS 2. Just look near the very end for this line:
<content:encoded><![CDATA[<?php the_content('', 0, '') ?>]]></content:encoded>
Make the same change as shown above for RSS 2.
Atom is quite different. Look for this line (round about the middle) in wp-atom.php:
<link rel="alternate" type="text/html" href="<?php permalink_single_rss() ?>" />
and add your stylesheet link tag just below it on a new line.
Stylesheet notes: If you’re using the primary stylesheet from your active theme (i.e. style.css), use this for the href value:
href="<?php bloginfo('stylesheet_url'); ?>"
If it’s part of your theme but not the default stylesheet:
href="<?php bloginfo('stylesheet_directory'); ?>/rss-style.css"