Mac OS X has had system alerts with Growl, a Mac-exclusive app until recently. However, with Ubuntu getting native system alert system, and Windows users can now install Growl for Windows for system notifications.
Growl is a a beta software as of now, and hence may have some quirks. There were a few memory corruption errors when I installed it, but was otherwise working fine. The graphics used in it looks inferior compared to the Mac OS X version, but it will noly improve as time goes.
You can view plugins for Growl on downloads page.
As of now, there are plugins for iTunes, Firefox, Outlook, Visual Studio etc. As it is being developed, support for applicatoins will only increase.
Snarl is a Growl-alternative that has been around for longer and appears more polished – if you find Growl quirky, you might want to give Snarl a try.