<p>You should be getting on-site notifications -- in a form of a red dot next to  StackExchange logotype on the top-right. Clicking this and selecting Inbox tab will give you a list of all mentions of you and comments of your posts. (This mechanism does fail sometimes, but this should be quite rare) </p>

<p>AFAIK it is impossible to get some more visible form of notification like e-mail or something.</p>
