Option-Click the volume icon in the menu bar, and you can quickly set the volume of the alert sounds without changing the system's overall volume setting.
[robg adds: I'm pretty sure this trick has been around for a very long time, and I thought we had it documented here, but I can't find it in the database.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20060523011947675