You may have noticed that Apple Mail does not play the “new mail alert” message every time you get a new email. This is an issue that has been present since the first release of OSX 10.5, but it has never been fixed by Apple.
Thankfully someone over at MacOSXhints has solved the problem. All you have to do is turn off the IDLE command (which is what Mail’s IMAP is using sometimes to discover a new message). In Mail open Preferences, then go to Accounts>Advanced. In all your mail accounts turn off the “Use IDLE command” feature. Now go to Preferences>General, and set “Check for new Mail every minute”.
Now you should get the new mail alert sound every time you receive a message.