Haha! Yeah I couldn't renew my VIP membership this year and I'm a freakin' pack-rat when it comes to PM's. I know as soon as I clear it out I'll pull my hair out over some important reference I needed.
I believe you'll get an e-mail if someone sends you a visitor message. And your Private Messages link under your name in the top right corner will be blinking/red like you have a PM, however when you click the drop down box, it will show 1 unread visitor message.