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Please make sure you use the search function before creating a new thread, this is a topic that has been discussed many times.
Currently you have a couple of options, a program called PhoneAlarm by
PocketMax or a utility called TreoAlert, which was created by users here:
http://www.ppcgeeks.com/treo-alert-3-8-t4010.html
As you can see, the thread for TreoAlert is even on the first page.
As of right now, these applications only allow the LED to blink when notifications are present, but it has not been found how to make them have a different color depending on the alert.