This happened to me too and it drove me crazy until I figured it out. I have 2 mail accounts for each of my email accounts and an icon for my SMS messages. There is also an icon that is HIDDEN that will show all of my messages (email, sms, Facebook, etc.)
Unhide all your icons (menu, show all) then find the mail icon with the message indicator. Usually it ends up being a message from BB or Tmobile.
