I'm also looking forward to this feature. In the meantime, I've been playing around with Feedburner's Subscribe by Email tool, which yields an html form which you can ideally paste in your sidebar's php. Since we only have widgets, I tried using a Text widget, but somehow it truncates the html code.
From this:
<form style="border:1px solid #ccc;padding:3px;text-align:center;" action="http://www.feedburner.com/fb/a/emailverify" method="post" target="popupwindow" onsubmit="window.open('http://www.feedburner.com', 'popupwindow', 'scrollbars=yes,width=550,height=520');return true">Enter your email address:<input type="text" style="width:140px" name="email"/><input type="hidden" value="http://feeds.feedburner.com/~e?ffid=42" name="url"/><input type="hidden" value="whatever" name="title"/><input type="submit" value="Subscribe" />Delivered by FeedBurner</form>
To this:
<form action="http://www.feedburner.com/fb/a/emailverify" method="post" target="popupwindow">Enter your email address:Delivered by FeedBurner</form>