As I was reading your post I was envisioning almost exactly what you prescribed at the end:
My first inkling would be to develop a
custom post type for features like
this with its own custom taxonomy.
Each “post” would be an individual
feature (custom post type) and would
be owned by a series (custom
taxonomy). Then each post could be
included in the loop when published
but also on the archive page for the
series.
The only difference was I was thinking “Pages” instead of “Features” mostly because you referred to Pages in your question but Features is probably even better.
So your instincts are already spot-on, IMO anyway.