Windows application to notify me when my external IP changes?
There's a project on CodePlex that does this: http://ipchangeinformer.codeplex.com
It notifies via email and can be configured to use a custom webserver for the public IP checks using a PHP file you upload to the desired site. There is also a default site (probably managed by the app author).
Also, DynDNS has a service that does this using an app resident on your computer that checks with DynDNS at regular intervals and updates your DynDNS account if you're trying to host something locally.