In reply to Ashley Evans.

I usually put one of those "What's new" notices on major updates (e.g. 1.2, 1.3, 1.4 etc).

Why? Because I know from supporting my plugins that most people don't read the changelog. I do try to keep it brief and provide links for more information and tutorials. I also send newsletters and tweets. But still some users miss everything!

I do not use the WP method of displaying a "What's New" screen as they are really annoying. I'm quite okay with WP doing but I hate it when plugins do because it hijacks the flow. You update 5 plugins and next thing you're on some plugin's "What's new" page.