When a plugin that you installed has an upgrade available, wordpress will notice you by adding a red small circle near the Plugins admin menu item. When you browse installed plugins you will see a link to upgrade under each plugin that has an upgrade available.

If you go away for a week, to holiday or something, when you come home you can see a lot of plugins that have upgrades available. Going trough each and clicking on upgrade links may take some time.

Well, the guys at wordpress taught at you time and they made a tool to upgrade all plugins at once. Scroll down into your administration panel menu and find Tolls -> Upgrade. There you can upgrade both the wordpress core and all plugins all once.