If your Mail alert sounds have disappeared, a possible cause is the System Preferences > Sound option to mute alert sounds. Mac OS X apparently considers Mail alert sounds to be a subset of alert sounds, and so if you have muted them, you will not be aurally alerted that you have new mail, etc.
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kirkmc adds: This seems to be a pretty uninteresting hint, but this very thing happened to my son's iMac some time ago, and it took us a while to figure it out. Another possible cause is explained in
this hint, which I submitted in early 2006. That was another one that took ages to resolve.]