There is a seperate volume control for the phone, and for media. You may already have checked this, but you might have the phone (ringer/notification) volume up, but the media volume down. Do it here: Menu>Settings>Sound&Display>Media Volume
As far as customization, under the same parent menu as the media volume, you can change the notification sound. Do it here: Menu>Settings>Sound&Display>Notification Sound
To import your own sound clips as notification sounds, usb hook up your Hero, mount it, go to file explorer on your computer, and create a new folder here: media>audio>"notifications" (you may already have this folder created from a previous widget ie-facebook creates it to put their "pop" sound notification). just drop any sound bite you have in that folder to use as a notification sound clip