Alerts are nothing new. You've been able to sign up for e-mail alerts in iTunes for some time through your account management pages. Recently, a new alert quick link appeared on the main iTunes page, letting you hop over to a page to manage those alerts without having to go through several pages of account management first. Just click the new My Alerts link and you're there.
This is not to say that the alerts are particularly good or flexible. I want alerts that let me know when free items appear in iTunes. (Don't you?) Currently, the only alerts you can add are for particular artists (click "Alert Me" on their page) or for when any individual in your purchase history has items added to iTunes.