Where do I notified when somebody comments on my answer/question/comment?
This is for (obviously) the new style.
If you want general view of all your comments, then click the "StackExchange" drop down on the top left and click "Inbox". The red circle with the number in it tells you how many new messages you have. Once you view them, the red circle disappears.
To see activity on a single site, move the mouse pointer over your username at the top, and a drop-down will appear. Click "activity", then you can see all of the activity that happened on the site.