It should be noted this isn't checking if your E-mail account was compromised, but rather whether one of your online accounts associated with that E-mail have been compromised.
For my Hotmail E-mail, it Looks like I've had two accounts compromised: "Daniweb" which I registered on before I even registered here and have pretty much ignored for 8 years, and DropBox. In the former case I couldn't care less- I have a good idea what password I would have used then and it isn't used for any web account that I can think of, so presumably nothing that matters. Dropbox responded to the hack immediately by informing users pretty quickly and I changed my password at that time; but the compromised password wasn't used elsewhere.
Interestingly, my web domain e-mail "@bc-programming.com" also had a related account exposed, for some recruiting website I don't remember ever using. All my web-hosting associated Account passwords are unique randomly generated passwords which I don't use for anything else (largely for this reason!) so I'm probably fine.
Interestingly, a while back I found my own site had been compromised through a wordpress vulnerability which was also able to get my FTP password, (or my FTP was somehow compromised, I don't know) I saw a login from Argentina in the logs and decided to change the password. Managed to clean up the mess and change the config to avoid the vulnerability.
The funny part was the most damaging part- an attempt to change my index.php to serve malicious drive-by downloads- was up for a grand total of 5 seconds, because by sheer coincidence at that exact time I was making changes to the file, and when I uploaded the changes I overwrote the hacked version!
Another related issue is the question of whether a site you give your E-mail to sells it onwards. Most sites will say "We never sell your E-mail to third parties" or something to that effect.
I heard of somebody coming up with a rather clever approach to this; they would actually create a brand new E-mail account (with unique profile info) and have it forward to their main e-mail for every online sign up, then write down the E-mail and the attached website they used it to register with. Then when they got spam, they could see exactly who sold their E-mail address (or was compromised). Seems like a lot of work to me but it's pretty effective.