The only notification is the text message Verizon sends, but you could try and create a custom "tone" for it - if you add the number that it comes from (I believe it's your own number)
Posted from my CrackBerry at wapforums.crackberry.com
Since you're new, another cool tip for Voicemail is to go in to the Phone options, and save your voicemail password so you never have to dial it again!