It seems many here are unaware when they've received a "Private Message" (PM).
For those who don't know, with a simple change in your settings, you can receive an email letting you know each time there's a new Private Message in your Inbox.
You can also see an indication of PM's in your Inbox at all times on the forum home page.
The red box in the attached image shows there are no Unread Messages in the Private Message Inbox ("Unread 0, Total 55"). If there were 1 new message in the inbox, it would say "Unread 1, Total 56". Clicking where it says "Private Messages" in the red box will take you to your Inbox.
To set up email alerts for new Private Messages, click "User CP" (Green Arrow) and then click "Edit Options" (Blue Arrow).
Once you click "Edit Options," look at the section that says "Messaging and Notification." Under "Private Messaging" click the box next to "Receive Email Notification of New Private Messages." (Purple Arrow in image below)