well i havent tried it yet, but if you dont check your messages, theres an LED flash telling you that you got messages to check, and theres like a red mark over your inbox button on the home screen, AND theres the notifier in the top of the screen tell you how many messages there are.
edit - i just got a text actually lol so here goes
http://i34.tinypic.com/jjnzid.jpg