Recently, I've been playing with a free Gadget for Vista Sidebar called, Visual Voicemail from CallWave and color me impressed.  Stevie J is right - audio management of voicemail is a pain.  CallWave on Cingular and other carriers can replace your existing voicemail system so that incoming calls are automatically routed to their service offering email notification, SMS notification with call details, and the Gadget, which provides a management feature for viewing, listening to, and deleting messages.  Nicely done.  It's free for a basic voicemail box with the gadget, or you can pay $9.95 for call routing etc.  My only complaints are the lack of a way to turn off SMS (it costs me $$) and lack of a Windows Mobile client for my Blackberry (er Blackjack) ;).