I really like the notification system that is currently implemented.
However I don't receive notifications for private messages. I missed a private message recently because there was no ping, on the site.
I am aware that a personal email is sent with there is private message, but I filter out all the messages from physics overflow into a folder and only check them very very rarely.
And a related thing is, there seems to be no way to check your all your private messages without going to another user's profile and checking by clicking on "send private message". Maybe I missed it, please comment.
This is definitely not an important feature, But something to keep in mind I guess.