Topic and Forum Subscriptions

None: This will not send out any emails but it will retain the forum or topic in the subscriptions panel which will allow you to 'bookmark' useful or favourite topics/forums.
Delayed: This is 'classic' mode. The board will email you notification when you're not active on the board.
Immediate: This will email you immediately after a new topic has been made (forum subscription) or reply has been made (topic subscription). This will send an email regardless of activity and it will send multiple emails if there are multiple replies.
Daily Digest: This will email you a digest of all new topics (forum) or replies (topic) in one email - once per day
Weekly Digest: This acts in the same way as the daily digest but it will digest the week and send it - once per week.

Also in My Controls you can view and edit all your Topic and Forum subscriptions.

For the PM's they do show at the top of the forums if set to in a box. From there you can select to read in the same window or open a new window just for the PM.