The AE team gets asked for this feature constantly. It appears in almost every RFP/I we review.
I know there are some neat customizations floating around out there but it would be awesome to see this feature in the core product. Ideally there would be an interface where a user can manage their subscriptions, but I feel like saved searches could be pretty useful in this regard.
and better still, why there is no "add to favourite" button in the menu for folder or file?