Windows/Linux only: Google has so many different services these days that installing a notification app for each one gets cumbersome quickly. Free system tray utility Googsystray watches Gmail, Calendar, Reader and Wave so you can set it and forget it.
After installing Googsystray, you can configure which services you want it to watch and what you want it to do for each — upon receiving a new email, SMS, calendar alert, RSS article or wave, you can have it play a sound and even run a command. The icon of the given service will also pop up in your system tray. Right clicking on it gives you a Growl-style popup with more detailed information about the notification, such as email subject or SMS content. You also have limited actions you can take depending on the service.
You can have Gmail monitor your inbox or specific labels for new messages, as well as mark messages as read, spam, or delete them. Google Calendar support is limited to alerts on upcoming events, and Google Reader can notify of you of new RSS articles, although you can tell it to stop notifying you when the number of unread articles reaches a certain point. Google Wave support merely notifies you of new and unread waves, along with a preview.
Googsystray is a free download, works on Windows and Linux (Python and pygtk required for Linux). Thanks, Aldeniszen!