You can change your notifications-related preferences in the User CP preferences pane.
Currently you can receive notifications when:
- Someone posts a shoutout on your profile page.
- Someone sends you a private message.
- Someone changes their status on one of your events, or posts a comment in the event.
Notifications appear below the navigation and above the content. You may dismiss the notification without viewing the content by clicking 'Dismiss,' or just view the private message, profile, event or whatever, and the notifications will disappear.
I plan on expanding the notifications system to other parts of the site before long. I'll try and upload a screenshot soon of what they look like.