This is obviously a no-brainer since almost every site where you can have an account does this.
When your password gets changed, the site should automatically send you an email stating that the password has been changed. If we have automated emails for stuff like comment replies and stuff getting front-paged, an automated email stating that your password has been changed shouldn't be difficult at all.
This suggestion is obviously for security reasons as there are people out there who hack into accounts and change your password to steal your account for malicious intent.