They are pretty cool. You choose something you'd like to google, and once a week (or however often you want to receive them), Google sends you a list of the top-ranked pages for that search term. If you don't know how, you should definitely google it . . .that is, as soon as you're done commenting on my blog. ;)
As a writer and blogger, for example, you can set up an alert for your name just to get an idea of where and how frequently you are mentioned. Does your blog come up when someone searches for your name (ie agents and editors)? Are any other sites referencing you?