I use a special tag in del.icio.us to note my sideblog entries (over there to the right), and a quick and dirty php script to suck that info down to my server and write it to a styled html file that I can include into this (and other) pages. Lots of people are using systems with varying degrees of complexity (and expense) to do it. I’m cheap, so I rolled a way to do it for free (assuming you have a webhost with php) and easily.
The del.icio.us sideblog generator script explains pretty much how I do it. If you know a little php, css, and html, you should have no problems implementing it on your own site. Of course, it’s just one hour and a minimal amount of effort shy of actually rolling your own solution, but, hey, I thought I’d save you that hour.
Comments, mods, improvements, etc. welcome.