I don't understand that, I don't remember all of my favorites, so why should I see my favorites? How have they changed? The title or new responses? Was it deleted?
See Jeff's explanation in Show updates to favorite questions in recent activity:
your favorites view now has a "recent" sort (versus the "newest" sort which is based on CreationDate).
if you favorite a question, you opt in† to updates on that question and they will show in your /recent/ and light up the envelope, just as if you own the question.
And for other surprises, see Monthly Summary of What’s New.
† There's no way to opt-out (yet?)
It depends. When you click that message, it takes you to the same page that appears when you click the envelope icon on the top bar of every page, by your name and rep. On that page, click the "favorites" tab on the row underneath the Questions/Tags/Users/etc. row.
Changes to questions that you've marked as favorites, like new answers, should appear there. If nothing's there, try clicking "this week" instead of "today"; sometimes you might not be in the same day in SO time. From the bottom of the "envelope page":
You can see your favorites by going to your profile and clicking the "favorites" tab in your question list: