Taskbar Notifier is a free iPhone application which adds a small envelope icon in the taskbar when you have an unread email message and a speech bubble when you have an unread SMS.

Taskbar Notifier is useful for reminding you from anywhere within the iPhone user interface that you have an unread message, even if you have previously pressed the "Ignore" button. This includes the lock screen.

Yes! You can also check your email from the lock screen (if, of course, you have your email set to auto check).

After the initial blue popup when an SMS message is received, the only place in the UI in which you are reminded of the unread message is the home screen, which as we all know is not where you spend the majority of your time!

Taskbar Notifier is possibly even more useful for email because you're never actually notified of these anywhere other than the home screen.

NOTES:
If you have unread messages in a disabled account (in preferences) the account will be checked and you will be notified of this message.
There is a very very small chance that the SMS or email icon may not go away when you've read the message. This occurs if you happen to read the message while Taskbar Notifier is actually checking that database. Because the checks are so fast this is fairly unlikely (and will likely sort itself out on the next sign of activity in the database) however it will be fixed (I have already written the code) in the next update.