In UBB 6.5 PM Notification was added. Whenever a user has a PM the notification will flash until the PM has been read.
I think if you look around in the Mod forums (6.0-6.3 and 6.4/6.5) or Forum Intergration several people have made their own scripts that will notify the user of new PMs by way of flashing or color change. Most of them are only IE compatible however.