Jeff has posted a nice GUI for creating event subscriptions. This tool makes the process less arcane and error prone. Check it out!
To set up advanced subscriptions, you needed to use bissubscribe.exe. This is problematic, because the command-line syntax is complicated, and also because bissubscribe.exe is only available on the Team Foundation Server.
To address this deficiency Naren posted a GUI tool that lets you create Work Item Event Subscriptions in July 2006. I took that tool and modified it so that it supports all event subscriptions, along with a bunch of other enhancements The new Team Foundation Server Event Subscription Tool is up on CodePlex now.