According to Administration > Settings > Discussion
Email me whenever
These two settings give you control of when you (or your authors) receive an email in regards to comments about articles.
* Anyone posts a comment – Check this box so that every single comment posted will generate an email to the author of that post. Be warned that if your posts receive a large number of comments, you (or your authors) may find a very full email Inbox. If you wish to micromanage comments, then by all means, activate this setting by checking the box.
* A comment is held for moderation – Check this box if you want WordPress to send notification that a comment is being held for moderation. The email notification is sent to the E-mail address listed in the Administration > Settings > General SubPanel. This is useful if your blog has multiple authors and each author is authorized to allow or decline comments. That way, you, the owner of the site, can review what comments are being allowed or denied.
