It doesn't automatically subscribe you to all threads within the board. But it's pretty useful to put all sections of the forum that interest you in one place, so you can browse the forums quicker as zwouter said.

You can see in the control panel when you have unread posts within the board, too. But keep in mind that it also tells you there are unread posts on boards within the board you subscribed to. (which I personally think is pretty lame)



In this example, you can see I have checked every thread within the Rapid Threads board, while the Off-Topic boards still have unread posts in them. Basically the same throughout the entire forum.