I agree, and have been doing just that type of thing for a couple of years. I recently posted a custom xsl that is an example of how to use the google weather service using the news feed module. Depending on your location, you can use many free services of similar weather info.
See this post on the DNN forum site: http://www.dotnetnuke.com/Community/ForumsDotNetNuke/tabid/795/forumid/48/threadid/28182/scope/posts/Default.aspx
There are many variations and possibilities.
I use Oliver's module, as well, it's just that sometimes you can use alternative to achieve similar results. I know Oliver to be a friendly and easy to work with guy, so if there is any problem with his module, just contact him, he'll get you by the issue.
Just a note, that if your issue is related to trust code access security, you'll run into the same issue using the news module, it's just part of the ASP.Net v1.1 security improvements. :)