Inform users about magento extension update
I noticed magento has "magento connect manager" which lists all installed extensions and allows the user to check for updates. My guess is the script connects to magento connect and compares the version of every extension the user owns.
That's fine, except that paid extensions are usually sold/stored somewhere else and magento connect has only common information about this extension.
Is there any way to let the customers who bought my extension know there's an update available?
Do I have to write some kind of observer to connect to external servers and get current version number? Is it possible to get it from magento connect for paid extensions (XML or JSON would be perfect)?
What should I do about it? How can this be achieved? What do other companies/developers do to let their customers know there's a new version of their module?
You're almost spot on. Here's a good guide on how this is done:
Basically, you build it around your own RSS feed that supplies the updates. Good luck!