If not, double check you don't have an unread or missed message in something else than email. Un-hide all your icons and look to see if any of them aren't starred with a new message.
lance_lie - have you tried "show all" to make sure you don't have a message that's not showing up in your message box (i.e. a BB messenger message unread, etc)?
Just had the same problem...it was a "missed call" from a few days ago and I could not figure out why I had "1 message". So, I deleted the missed call and the message indicator went away.