Once you have your site set up and working, it can be tempting to leave things as they are, although the reasoning "why fix it if it isn't broken" does not always apply to web applications. Just because you cannot see something obviously wrong with the way your site is working does not mean there is not a security hole that you cannot see, which could be exploited by an attacker.
In general, it is worth upgrading whenever a new stable version of a script is released. If the new version is mostly full of cosmetic changes and new features, you can wait a while before upgrading to ensure that any teething issues with the new version are ironed out. However, if the new release contains security patches, you should seriously consider applying it as soon as possible.
The best place to get updates on new releases is the WordPress MU web site (http://mu.wordpress.org) and the web sites of the plugins that you are using. For convenience, WordPress MU will inform you of the...