I have a couple Google Mail (apps and gmail) accounts linked to my phone. If I get email the phone notifies me. If I read the email on a PC, the notification goes away. I like that.
I also am using the "Email" app with an Exchange server for my day job. If I get email the phone notifies me. However, if I read the email on PC (outlook or outlook web access) the notification never clears. So, I see the notification on the phone, tap through and... find nothing new.
Is there a setting that I'm missing?
 running 2.1, if that matters.
 Feb 1, 2011. This is still an issue since the Android 2.2 update as well