OK, I had fixed a bug in Drupal's comment notification, but the previous workaround does not work with Drupal 5.x. For some reason, once again, I'm getting emails notifying me of new content, but not new comments. However, I'm still getting a lot of spam that I don't want posted, so I'm keeping the approval queue turned on for now. Sorry if it takes a bit for your comments to be posted, as I'm not getting the emails. Will try to find a fix ...

UPDATE: Fixed for Drupal 5.x, see instructions here.