Update: A newer version is available.
Checks sites for modifications and sends email announcements. It's console application written in C# with full source code included.
Read more about it at http://www.wimdows.net/articles/article.aspx?aid=23. Wimdows.net site was quite popular when I posted this article, but it looks dead to me now. I'll have to post it here some day.
Download WebSpy 1.0