Yes. The feature is called Tag Filters, or the StackExchange™ GlobalTag MegaBlender™ if you prefer. I'll provide a summary, because I can't find a canonical new-feature or FAQ post, but you can refer to the Improved Tag Sets blog post, the tag-filters tag, and the globaltag-megablender (yes, I'm serious) tag for more information. The Tag Sets on Stack Exchange describes the justification for the feature as implemented in the previous version, where they were called Tag Sets.
What can be collected in a filter?
Filters allow you to aggregate collections of questions from multiple sites. They're a very
powerful feature. Each filter can contain many rules for the collections.
Collect all questions on a set of sites
You can collect an entire site to a filter. This is useful to keep an eye on several smaller sites.
Collect all questions on the whole network
It's rather impractical for larger sites like Stack Overflow. You can even collect all questions on all sites as in the EVERYTHING filter, but that throws about 700 questions per day in your direction. Good luck.
Collect a tag across all sites
You can collect all questions across the network with a tag. You can even use
* for wildcards!. For example, here's a collection of all the embedded, embedded-linux etc. questions.
Collect a tag across a set of sites
As with collecting an entire site, you can choose a subset of sites to add to this filter.
The numbers in parentheses indicate the number of questions on that site that would be added to the filter. Note that you can't add a site on which the tag doesn't exist yet.
It's important to note that "All sites" actually means "All main sites". To get the meta sites, you need to check the checkbox.
Further steps towards creating the filter
Once you have your set of rules:
Click "Preview" to get a look at the most recent questions that match your filter:
Don't forget to save changes when you're done! This looks like a good set to me, so I'll give it a name of "Embedded Stuff" and save it for later. It now appears in the sidebar:
You can accelerate this process by starting with someone else's filter. Just choose "Save to my filters":
What can I do with a filter?
There are three ways to collect the questions from the filter.
Use the web page
The first is to use the filters page directly:
Note the tabs in the upper right that allow you to sort by hot, activity, newest, and no answers (which is different from the questions->unanswered tab, which is different from the Unanswered button).
There are also statistics in the sidebar for the average questions per day, total views, users following, and email subscribers, which leads us to the next thing to do with a filter:
Subscribe by email
You can subscribe to your own filters by checking the box in the edit view.
You can't edit others' filters, so use the sidebar or envelope to subscribe to filters you find, or use the "Save to my filters" button to copy it to your account.
Follow through RSS
At the lower right corner of every feed page is an RSS icon.
You can use this with an RSS reader like Thunderbird or Google Reader, or insert it into a Stack Exchange chat room.