When you're in the market place app, touch the settings button to bring up the menu, touch downloads. It will show a list of all your downloaded apps, the ones with updates will be at the top of the list and say "update available."
Ditto Martin & BL1... What's really amazed me is how often my apps get updated! It's simply amazing (coming from the WinMobile platform). I swear I've had on-average three updates per app / widget in the past month.