This iPhone application adds a small envelope icon in the taskbar when you have an unread SMS message. It is useful for reminding you from anywhere within the iPhone user interface that you have an unread message, even if you have previously pressed the “Ignore” button. This includes the lock screen.

After the initial blue popup when a message is received, the only place in the UI in which you are reminded of an unread message is the home screen, which as we all know is not where you spend the majority of your time!

http://code.google.com/p/taskbar-notifier/