If you've ever wanted a fast, automated way to check if you've got the latest albums from your favourite bands, web site Album Spotter might be your answer.
Just export your library in iTunes (File > Library > Export library), and then upload it to Album Spotter. Once the site finishes analysing your library, you're presented with a results page that lists every album you have (complete with album art, name, and Amazon link) along with the latest album available. When the latest album is highlighted in green, you already have the latest from that artist (the name of every album you own will show in green as well).
If you'd rather just check a few artists manually, you can enter their name on the homepage of Album Spotter in the "check a specific artist" box—though this search box was a little buggy in our tests. (If you search for "Bob Dylan" it returns no results; "Dylan" works just fine.) The latest album will show up immediately, again, linked to Amazon. Thanks Bill!