Sometimes it may not be possible to actually receive an alert email on your system - maybe its a dev environment that doesn't support email, or exchange might be throwing a hissy fit, or maybe you just don't want to wait for the email to filter through to you.
 
A friend from Microsoft, Brendan Griffin, gave me the following SQL that shows the alerts that web app currently has queued to go.  This SQL needs to be run against the WSS_Content database for the web app which is expected to be producing the alerts:
 

SELECT
   EventTime,
   ItemName,
   ItemFullUrl
FROM
   EventCache
WHERE
   ID > (SELECT Id FROM EventBatches)
 

I tend to use this now when developing to determine if the alerts I expect are being created.