I have the little message icon and a 1 next to it. I have no unread messages and the light's not blinking.
I've tried deleting items off of the phone. I've marked all prior items as read. I've marked them unread then marked them read again...same thing...that one stupid little message icon is still there.
i bet its in your saved messages folder. check there first, or use the search function in the blackberry menu while in your messages folder to find all unread messages- it should turn up that way for sure.