I found the following on PhotoMatt.net:
The WordPress Comment Moderation Notifier puts a little thing in your Windows mini-icon tray that let’s you know when you have a new comment, much like Outlook or Thunderbird do with email. Cool! Now we just need a Mac version, maybe using Growl?
I’ve installed it on my computer, and I tested it, and it’s working great! If you have a self-hosted WordPress blog, you should try it out!