Panopticon Central has some interesting points on what people notice in a UI. Specifically, the status bar:
But what this really makes me think of is a usability test they did on Access one day to see how effective text placed in the status bar was. The test went like this: the user was given some task to do in Access. Unbeknownst to them, we'd stuck a message in the status bar that read "If you notice this message and tell the usability lead, we will give you $15." Want to guess how many people got the $15? Zero. After that, we were careful not to put any important information down in the status bar, because it was 100% likely that no one would ever see it.
Combine that with the research showing that people often just hit return to any dialog box, and you have a real issue. I guess any user notification that's important just has to be part of the core UI.