Hey, Joel, i have just emailed Support (thinking i couldn't find this in the forum) cos i'm having the same problem - only for the last week or so. Before, i was approving each individual comment, and now i'm getting no notification. I've checked and the 'email me' setting is definitely selected.
As far as i can see i haven't had any anonymous comments so that can't be causing it in my case.
My blog traffic is quiet enough that i didn't realise i was missing anything and only found out by chance. My blog's also growing steadily enough that a week of not responding to commenters affects its growth. My time is limited enough that i can't guarantee to go to my Comments page (for both my blogs) every day. Anyway, i shouldn't need to.