Is there an easy way to check for new episodes, albums, etc.?

Itunes.

+1 for iTunes.

If you tend to go for the lesser known shows/music scene, definitely start following blogs that tend to cover these on a regular basis. Blogs + RSS reader = Constantly up-to-date

Edit: Also follow respective Twitter accounts.

I find out from the blogging website, Tumblr. I follow blogs with the same interests as me, in TV shows etc, and everyone starts blogging about it like crazy when a new episode comes out so that’s how I know.

I was afraid itunes would qualify but I’m not going to use that.
Anything less involved? Maybe specialized in this one function?

iTunes

There really isn’t much, if anything, else

I use sidereel to keep track of the shows I like to watch. It makes it easy to know what I have and haven’t seen so I can randomly watch stuff whenever I happen to get around to it.

I second the rss reader. It’s the best thing ever to collect all your updates in the same place. AND, if you can’t be arsed to actually go to Tumblr or Twitter its cool. You can dump all that into your reader as well. Blogs, news, webcomics and tweets, an rss reader is a one-stop shop.