Your watchlist is a display for tracking changes, similar to the recent changes display, but limited to showing changes only across your set of "watched" pages. You can see your watchlist by following the "watchlist" link on the top right of each page. This feature is only available to users who have registered and logged in.
Add pages to watchlist
Before you see anything interesting here, you have to actually add some pages to your watchlist. Do so by navigating to a page that interests you, and click on the "watch" tab (or the star icon when using the Vector skin).
A page already in your watchlist will be marked with an "unwatch" tab (or a blue star on the Vector skin). If you want to remove pages from your watchlist, click on the "unwatch" tab (or the blue star).
Use your watchlist
On the watchlist display, some page names appear in bold. This indicates whether or not you have visited the page to see the change. It's a bit like read/unread emails in an email inbox. The "Recent changes" display will also have some new bold highlighting, but for a different reason. Here bold is just indicating edits to pages on your watchlist.
According to the relevant preferences, changes to pages you watch may also be notified to you by email. The main preference for this is "Email me when a page or a file on my watchlist is changed".
After receiving an email notification for a page, you have to visit the page while logged in if you want to be notified of further changes to the same page.