It took me a bit of digging around to find this setting...
Go to your Control Panel
and then find Edit Options along the left-hand column. Under Edit Options scroll down to the section for Messaging and Notifications. One of the segments there is Default Thread Subscription Mode. There is a pull-down menu so you can change it to no email
I want to stay subscribed to certain threads so they are easy for me to find and catch up on, but I didn't want to have to change the notifications every time I subscribed to a new thread. This setting was exactly what I was after.
Hope that helps!