iPhone 3.0 A2DP is messed up!
As soon as a handsfree set that supports A2DP is paired with the device, all notifications are automatically sent to the headset.
This would be ok when the headset is actively used to listen to something - when stereo sound is already playing over bluetooth and you are supposedly having the headset in your ears. But not when the headset is idle! Sending notification sounds to the headset when it is idle will most probably send them into a tiny earbud in your pocket, where it can't be heard.
On the iTouch with OS 3.0 there is an option to send sounds to speaker, headset or both. Why this setting has been omitted on the iPhone version of the software is beyond my imagination.
So please Apple, before I have missed any more SMS, MMS, email, meetings or anything else that relies on an audible notification, make sure that the next update of the OS comes soon, and has this switch enabled also for the iPhone version.