After a quick Google search (as well as on macosxhints.com), I'm sharing this feature I discovered by accident. If your iOS 5 device is locked and you receive a notification, you can swipe the notification instead of the 'Slide to Unlock' widget, and you will be automatically directed to the related app. If you have a passcode, you'll still be prompted to enter it.
I've tested this on the following devices:
Mac OS X Hints
http://hints.macworld.com/article.php?story=20111208091708825