Show list of work items I am following in VSTS?

This does exist in Azure DevOps under Boards -> Work Items. Furthermore, you can create your own query. For example, I have a query that displays to a user all items they created and includes any items they are following. Set the field to ID, the Operator to In, and the Value to @Follows. Basically stating, "Show me items where the ID is in my list of items I am following."

In Azure DevOps it is on Boards -> Work Items, then in dropdown list select "Following".

This feature that @Eddie mentioned for VSTS is now available!

You can find the query

WORK > Queries > Followed work items

Late 2019, there is updated UI, you find it on your home screen, then click an organization, and it's right there under "My Work Items"