I'm in the same boat as you Lou.
What's ironic is, as I read through this thread and then signed up for the forums, I recieved an email on my locked iPhone 4S. I turned on the screen unlocked it and I was refreshed to see the banner show up, no vibrate, no sound, just the banner showing me what I wanted to see; a preview of the email that had just arrived. I quickly looked in the settings for Mail and jotted them down.
I went into Messages and verified I had the same settings. Then I texted myself, hit the home screen button, locked the phone and waited. The phone vibrated and made the text message noise. Fair enough. Then I turned the screen on, unlocked it and... boom... another vibrate and noise along with the banner. Boo.
Sent another text from my wife's phone. Same result. Annoying as ****...
EDIT: Same thing happens with WWF. Grrrr...