I came here because i read about this function in the Your Classified Ads plugin description's future features.
This feature would be great product even sold separated, regardless of YCA.
I am searching for this feature for a long time.
If there were a plugin that makes a custom query filtering through multiple categories or custom post types' taxonomies enabling email subscription for search results i would buy it. (I think every existing taxonomy in a given wp setup not just YCA-created ones)