I installed today from Market, the Yahoo Mail application and I was reading it offers push message notification technique. Indeed it works, as I got exactly the same moment the alert on my desktop computer and my mobile mail client.
How is it accomplished?
There already is another question discussing how to implement push notification without the cloud to device messaging in older system.
There are several frameworks that give you push abillity. They all require a running a small background thread that is polling a server at a very short interval(Bad for data rate and battery) or keep an open connection to a server that is kept alive somehow and the client is notified every time a new message is waiting on the server.
Have a look at the question and maybe choose on of the mentioned frameworks, the frameworks will reuse the same service for all applications that are installed on the phone using the same framework and therefore save battery and general system usage.