Like Luciano, I use the Update Notifier plugin--particularly on sites that I don't visit the back end of very often. (On the client sites where I'm in doing comment moderation 2 or 3 times a week, it's not really necessary.) You can set it up to notify your clients, too--otherwise they will likely forget to check, since many of my WP clients want a website more than a blog and don't update their content that often.