In addition to the statistics tab info Elsa Mars gives...

For seeing what threads you are subscribed to
... on your My Profile page, just to the lower right of where it lists the threads you are subscribed to that have new posts, is the hyperlink "view all subscribed threads". It will take you to a list of all of them, in reverse chronological order (by thread most recently posted to).

OH! I think maybe the issue with the notifications not coming in might be due to.... after you select the option, you need to scroll down the page and click "save changes". It's easy to forget that step (and I'm almost for sure guilty in forgetting to mention).

Let us know if those don't solve it for you, ok?