Message indicator light?

[iblastoff]

notifications such as vibrations every x minutes and such as well as more varying types of sms privacy are all available if you jailbreak.

 

[jamesarm97]

As for the missed alerts (vibrate, alert, screen flash), you can jailbreak your phone and install intelliscreen.

I actually ran that and loved it on my 2g before the 2.0 software came out. I got tired of jailbreaking every time an update came out so I decided to live with it without intelliscreen.