One way is to keep categories in one single table - e.g. category
- and define an X table for each entity/table that needs 0 or more category associations:
rssFeedXCategory
rssFeedId INT FK -> rssFeed (id)
categoryId INT FK -> category (id)
atomFeedXCategory
atomFeedId INT FK -> atomFeed (id)
categoryId INT FK -> category (id)
and so on.
You can define a PK for both columns in each table, but an extra identity column may also be used. When working with an ORM, I also have an extra identity/autoincrement column (e.g. XId INT), so that a single column can be used to identity a row.