Subscribing to a thread will result in a notification in your User CP when the thread receives posts, or if you so choose, you can even be e-mailed every time a new post is made in a subscribed thread.
A useful tool if you choose to auto-subscribe to threads in which you make a post, for checking for activity in said threads without having to waste clicks and navigate through various forums. It's just under View New Posts as the Most Kickin' Rad Forum Tool Ever.
