This reader complains that whomever he is calling can hear the notification the iPhone sends:

Whomever I’m on the phone with can hear all of my alerts: call waiting, texts, voicemail, low battery, etc. This bugs the hell out of me and sounds completely unprofessional in the case of business calls. Besides, it’s an invasion of privacy (it often leads to nosier people asking who’s calling or texting or what-not).