As of now, there's no way to subscribe to tags - the normal subscribe option fails and the manual subscription page (e.g for jazz) gives a 404. Is that just because the site is too new?
Can you elaborate on "the normal subscribe option fails"? I just tried it and it seems to be working fine - hover over the tag, click "subscribe", get email confirmation, click the link in the email, profit.
The "manual subscription page" link you tried isn't a valid URL, so it 404s as expected.
You can also set up the filter (read: subscription) manually at http://stackexchange.com/filters/.