Well, I have my Topics page bookmarked. That way when I visit I can immediately see whether my last post in each thread had a response.
Also, I immediately look at the All Topics page. When I visit a thread, I do so by clicking on the button for the last message and then scroll backwards to the first unread post. That way, by looking at which last message buttons are differently colored (to indicate a previously visited link) I can immediately tell which threads (of the ones I have been reading) have new messages.