After reading other iPhone related blogs it suddenly dawned on me that i dont have a Notifications section in the settings menu. Then i realized that i have not yet downloaded any new apps since the 3.0 update, doh! So if you have yet to experiance Push Notification try downloading the FREE Associated Press app and your new Notifications menu will appear in the Settings Menu.


Heres Push Notification explained better:
Source - theiphoneblog
Perhaps the highest profile addition to third party apps, if not the App Store proper, is the release of the-anticipated Push Notification service (PNS).
This service is supposed to replace some forms of background multi-tasking support, which Apple allows for their own apps like Mail, Phone, and iPod, but sites battery life, stability, and complexity of management as reasons not to grant third party (App Store) apps the same privilege.
So, under iPhone 2.0, if you exit an Instant Messenger (IM) app, you no longer have anyway of knowing when a new IM comes in unless and until you deliberately relaunch the app. (Sure, there are work around over SMS and Email, but the app itself is dead).
Under iPhone 3.0, if you exit an IM that supports PNS, the developer’s servers will alert Apple’s PNS which then “push” an alert to your iPhone. (Similar to how MobileMe already pushes alerts for email).
If you have IM, Twitter, a news app, etc. Apple’s servers will handle all of them, so theoretically your iPhone only has to listen to PNS instead of each one separately. One instead of many is supposed to save battery life.
PNS currently supports 3 kinds of alerts: badges (like Mail uses to show you unread messages), custom sounds (like a beep or bell or anything already built into the app by the developer), or modal text alerts (like the kind that pop up to tell you about a new SMS).
With the text alerts, if an alert comes in, it will stay up until you dismiss it or act upon it (e.g view an IM). If a second (or third, or more) text alert comes in, however, it replaces the previous one, and that previous alert is gone forever. In other words, if nine alerts come in, you’ll only ever see the ninth one and dealing with it gives you a blank screen, not the eighth — or previous — alert. (Badges, if used and enabled, would still show you 9 messages had come in).
If your iPhone is in sleep mode, alerts will still pop up, but the “swipe to unlock” will dismiss them, but not send you to the alerting app. Less than ideal, but perhaps the best solution given the limited notification handling the iPhone currently employs.