I found this once before but I had trouble finding it again. It doesn’t seem to be on the Site Map. There is a module for it in MyLJ though.
Anyway, if you think you might have missed some comment emails, check out Recent Comments. It should show all the comments made in your journal. It doesn’t show comments responding to your comments elsewhere, but if you scroll down, it does show *your* comments elsewhere, and you can visit the more recent ones to see the resulting thread.