It may have taken nearly all of Windows Phone’s software versions since the original 7.0 release for Twitter to care, but the official Twitter for Windows Phone now has notifications. These alerts apply to new followers, mentions, direct messages, and so on. But keep in mind that while Twitter for Windows Phone v1.5 Has all these handy dandy features, there are much better Twitter clients available on the Marketplace.
Just putting that out there. Via: Windows Phone Marketplace (Twitter)