For many years now, Mac OS X has had the ability to channel alerts and other sound effects through a sound output other than the default output used for sound playback in Mac OS X. The default output is selected in the “Output” tab in the “Sound” preference pane in System Preferences, whereas the output for alerts and sound effects is selected in the “Sound Effects” tab in that same preference pane.
Sadly, it now appears that Apple’s engineers have broken this in Mail 3.0 in Mac OS X Leopard (10.5). The various sound effects played by Mail when receiving or sending mail are now again played through the default output, instead of the output for sound effects and alerts.
If you’re using SpamSieve with Mail, this isn’t as much of a problem, since its notification sound (for new non-spam messages) plays over the alert channel.