Go into EVERY folder and hit the U(for unread) button. Check all folders including Hidden folders, Saved Message folder, PIN messages, Missed Calls logged in Message folder. Open any Missed Calls logged.
If you have your general " Messages" folder hidden (Menu-Show All), check there. PIN messages and App World update messages are only logged in this folder.
Try a battery pull.
Posted from my CrackBerry at wapforums.crackberry.com