iPhone doesn't make a noise when a text is received

I just got a brand new iPhone 3G. All of the sound works, except when I receive a text, it only vibrates and doesn't make the sound I've set it to. Ringtones, voicemail alerts, sent texts, alarms, etc., all make their appropriate noises. It's ONLY when I receive a text it does not.

My volume is all the way up and on, it's set on vibrate and ring.