OK, I think this started when I upgraded to version 2.9.2.
I have been receiving comment notification e-mails fine up until then.
I've went over this with my host and they say that the sendmail is working and their Mail Server is showing activity and all, but I'm still not getting any notifications when comments are posted anymore. My host concluded that it is a WordPress problem, and they may be right because I think it stopped when I upgraded to 2.9.2.
Any fixes or suggestions please?