OS X: Reddit Notifier is a handy Mac utility that lives in the menubar and instantly alerts you to new happenings on your Reddit account.
Once you've given the app your Reddit login credentials (which are only stored on your OS X Keychain), the envelope icon will turn a familiar shade of "orangered" whenever you get a reply or private message. If you receive Mod Mail, the icon will change to a standard alien head to alert you. In the drop-down menu, you'll also find some options for custom audio alerts, a link to the app's subreddit, and an overview of your link and comment karma.
It's a simple app, to be sure, but well worth the $US2.99 price tag if you're a frequent redditor.