Hey Andrew,
I like your ideas.
Since I don't allow e-mail addresses to be shown at my community (to help keep spammers from harvesting them), PMs are the first way most of my members have of contacting one another individually.
With my community growing daily, it'd be great to be able to have a PM alert system in place that would let everyone know when they have new PMs w/out receiving the e-mail notification.*
*I've had people respond to that e-mail (I've since modified the message to warn heavily against that!), but I also have people who cannot receive .html e-mails--which means their notification e-mail is a mess!

(I like the .html e-mail so I can click right on the links instead of copying & pasting ... color me lazy

).