I see that https://stackapps.com/questions/635/can-we-have-some-sort-of-notification-system answers "NO" in no uncertain terms - I'm going to take a shot here because what I'm suggesting should not be any more complex than the logic it takes to maintain a browser session that makes the little number of messages appear in the StackExchange dropdown...

I think this could also be done with a scripted browser control, but it would be cleaner if one could simple say GET /user/notifications or something?