Is it the flashing red light you can't get rid of? If so, do you have BerryWeather? I have multiple locations set up in mine, and I get the red flashing light when there are weather advisories in one or more of my locations. If I scroll to the locations with advisories and click on them, the indicator goes away.
Check any folders on the phone including the "saved" folder. I had issues with this (accidentally "saved" an unread email, and then couldn't find it for notification).
Also....sounds like you've done it, but is there another email (BIS, perhaps) set up that doesn't go to the main mail folder? I have two email accounts set up like this and I have to go into the specific email folders to clear the new/unread notification.
Is it a message? You could try the "Mark Prior Opened" option: From messages, click on today's date, select "mark prior opened", though after all you've tried I don't have high hopes of that actually working