Notifications for updates to Market apps should appear in your notification tray (at the top of the home screens). I'm not sure how the timing works. With my G1 the notification would sometimes take a while before showing up.
The other way to check is to open the Market, press menu key, and then select Downloads. It will show you the list of everything you have downloaded or purchased. Anything with an update will be at the very top of the list and say "Update available."