I never realized that on the Mac running Leopard or Snow Leopard, you can have different volume levels for alerts than you have for everything else, like playing music. Using these different volume levels, you can listen to music or video at high volume and not get startled by high volume alerts.

You can adjust this by going to System Preferences, selecting the Sound entry, and then selecting the Sound Effects tab. It'll look like this:

Sound preferences on the Mac

The upper slider, Alert volume, will control alerts while the lower slider, Output volume controls the non-alert sounds.

If you have Snow Leopard and you are showing the volume indicator in your menu bar, there's a shortcut you can use to set these. Click the volume indicator in the menu bar gives you a slider to control the Output volume. But if you hold down the Shift key before you click on the volume indicator, it then gives you a slide to control the Alert volume. This shortcut lets you set both volumes without having to go to the system preferences.