A warning at the top of the page, for those who had RSS delivery previous set up for Alerts reads:
Google Reader is no longer available. To continue receiving Google Alerts, change to email delivery.
Here is a screen shot:
For me, losing RSS as an option for delivery of Google Alerts is a big problem. I use it as a method of discovering news on topics otherwise hard to find.
The only alternative is to have all these alerts, which in my case can be hundreds per day, emailed to me. For me, that is not an option. I need the alerts immediately but I also cannot have them in my inbox.