Go into Messages app.
Press Menu.
Click Settings
Scroll down to Receive Messages section
Tick Received Notification
Tick Vibrate.

I would highly recommend using Handcent though

 

Download sound manager, enable vibrate & then uninstall if you like. It should now work.

 

I had an issue using an SD card restore after a factory reset, tried it again (using a manual re-install of all my apps) and this brought the notification vibrate back.

Just thought it worth mentioning but I'll try the app idea next time (if it happens again).

 

cheers as well =)

 

Sound manager worked for me too, thanks