With the LightSignalPlus application for our Nokia 5800, 5530, 5230 or X6 when we have a missed call or SMS it makes the keys blink and no aplication windows is currently open.
To activate this application, once executed, go to Options-> Activate. To deactivate it, press Exit in the application.
Download | LightSignalPlus
The 5800 has this option from itself, you can select the menu button to flash when a message/call has been missed.