Simply go to Store -> View My Account and then scroll down to the settings sections where you'll see "Alert Me." Click the Manage section to view.
If you download a lot of your content from iTunes, then you can get alerts for new albums from the artists you've previously download by simply checking the top box (as indicated by the arrow).
Alternately, you can browse to an individual artist's page in the iTunes store and Click "Alert Me".
This process is easy and works if there are just a few artists you care to track. For those music aficionados who want track and follow hundreds of artists, this process will be too monotonous. But fortunately, there is another way to help you achieve the same goal of tracking your favorite artists — it's called Album Reminder.
Album Reminder has an importer tool that'll let you upload artist lists from iTunes, Last.fm, or a simple text file. You can choose to get notifications by RSS feed as well, so that artist alerts will just show up in the stream of your Google Reader (or other feed reader) rather than in your email inbox. There is also a convenient All Releases tab that you can browse through by week if you just want to see what new things the music industry has been pumping out recently. Hopefully with these tricks you won't miss another album from your favorite artist. (Images: Chris Perez)