Enh, I miss the blinking red light too, but:<p>1) You can set the device to vibrate every once in a while to remind you if you haven't answered your messages,
2) You can put your "messaging" tab on the home bar at the bottom (replacing the - for me - useless iPod app), and
3) The iPhone pushes in much the same way the BBerry does. I get messages and Email without having to do really anything.
Having never used a Blackberry, I never realized how much people make use of this feature. I wonder if Apple might eventually include an indicator similar to the sleep/power indicator on a MacBook.