Often your operating system will help you with these things, at least in (most distributions of) Linux. As soon as a piece of software is available as an installable package, and installed, your package management system will keep track of it and it will be possible to find out that a new version is available.
For instance, in Gentoo Linux, you would do the following from the command line to get a list of possible package updates:
emerge --sync && emerge -p world
The first command makes sure you have an up-to-date list of available packages, the latter compares all your installed packages (your "world") to the list, and reports back with one line per installable package. These lines contain the version you have, and the version available, so you can decide if it's worth upgrading.
There are probably several other ways of doing it, this is just what I use.