Yes, you can set up your form to automatically send you an email notification when someone signs up.
Look for this feature on the Data Settings page (Step 3) when you create or edit your form. This is the same page that you use to associate your form to your lists. Look for the section labeled Have Submissions Emailed to You.
If you would like to have form submissions emailed to you, select the desired email address from the dropdown list below. Note: Only activated sender addresses can receive form notifications.