Email alerts from sharepoint sites are working fine.

If I set up an alert for a portal area, the alert is being triggered
(as seen in My Site -> Manage Alerts) but the email is not comnig
through when alert results are triggered, even though I am set to
alert by email immediately. However, when I set up the new alert I am
getting the email message informing me that the alert has been
activated, so email can get through.

Any ideas?