So, I'm sure I'm not the only person who didn't realize that the vibrate mode doesn't turn on vibration for message and app notifications.
I was having an issue where whenever I had the phone on vibrate, I was not getting notified for text messages.
I googled this, and a lot of people had the same issue. Basically, the phone would behave like it was on silent whenever a text message or other notification was recieved.
In order to fix this for text messages/voice mail - open up your messages, hit the menu button, then settings, and verify your preferences for vibration are selected.
Each Vibrate option is under the Recieved Messages, Sent Messages, and Voicemail Notification Settings.
I've noticed that every single app has it's own vibrate setting, so you have to individually go through and change them if you want vibration notifications. I don't believe they will shut off when your phone is on audible (if you're worried about battery life). I think it's only an on or off type of deal.
Anyway, hope this helps. It's given me more than a week of frustration.
Glad you posted this, I'm sure a lot of people have had this issue. Every android I've owned is like this, took me forever to figure it out the first time.