Clicking on "My Forums Threads" gives you a list of all your threads. The ones you have not marked as Alerts are those missing the Bell icon.
Whereas listing all the threads with your Alerts is catered for with the "My Alerts" option, there is no such option for showing only items with No Alerts.
(I don't really see why that option is needed. But of course the ways people use the forums are different too so that opinion reflects my usage of Alerts (=seldom) only.)
WSS FAQ sites:
http://wssv2faq.mindsharp.com and
http://wssv3faq.mindsharp.com Total list of WSS 3.0 / MOSS 2007 Books (including foreign language)
http://wssv3faq.mindsharp.com/Lists/v3%20WSS%20FAQ/V%20Books.aspx