You can configure google talk (from the website) to send you texts and emails when someone leaves a voice message. Within the Android app, you can see the translated message and also have quick access to the voice file, so it basically doubles as a souped-up visual voice mail. Which is AWESOME.
as Wesodz said, I believe you're discussing Google Voice, not talk. However, I completely agree with you. Google Voice is sweet. It is MUCH better than carrier visual voice mail. Lots of extra goodies and free. One of my favorite things it does it remove the Verizon "you must be a moron and don't know how voice mail works" message. You know, the one that says, "to leave a numeric page press one, when you are finished recording you're message press 1, or just hang up." -- or some such stupid ramblings.
To the OP: you asked if messages are received if you're not "in" the app? Yes, you will get messages without having the app open - it runs in the background.
There is a weird quirk with Google talk that seems to log the user out and makes other users appear to be offline (and you appear os "offline" to them as well). You get a message that says the message will be delivered when the recipient logs back in. I can not for the life of me figure out how it logs me out or in. However, not to fret. The messages are always delivered and recieved regardless of any type of "logged in" setting. This is a common complaint with Talk users that they are "logged out" and back in randomly. It's a bug that really doesn't mean a thing. I've NEVER had a message delivery fail and don't know of any situation that a message delivered to me was not recieved. Also, I've never actively "logged in". If I ever reboot or power off, I don't do anything with Google talk and then eventually someone sends me a talk message and, BAM! there it is.
However, I don't like the limitations of Talk (no groups, no attachments, no color backgrounds or font settings, not everyone has an Android and thus not able to use Talk on a mobile device). So, I hardly ever use it anymore and prefer SMS / MMS with Handcent - check out that free app. It might serve you better.