Technically, an exported Feature is a Drupal module – it has a .info file and a .module file (along with some .inc files matching the components of the feature).
If you're a developer and find a feature bundle a good starting point for a module, you could just extend the feature by editing its .module file (and if need be also the .info file) to include hooks and what have you. However, do not change or add to any of the defaults or features inc files unless you know what you are doing. These files are written to by features on updates so any custom changes may be overwritten.
Note: The features-variables in the .info file causes the feature modules to be filtered out from the standard module list and instead be included in the Features administration page.
To be written: How to convert a feature to a regular module, managed on the Module admin page rather than the Features admin page. (See: Un-Featuring a Feature module)