What Luke is suggesting is nothing new to sites like those part of the Kitmaker Network. Most forum based sites that I subscribe to have an email notification system for PM's, and personally I think it a good suggestion.
I find it especially useful for those sites that I seldom visit. What's particularly nice is the fact that this feature is normally an optional switch. I.e. if I don't want the notifications via email, I simply check or uncheck the box (depending on the site's default settings), and voila!
Would I use something like this? Probably not, but then I'm on the K.Network for 8-14 hours a day...
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My 0.02 ZAR
RR