I was experimenting with Actions and Triggers. It was fun, but I'm not sure how to get email updates about specific comments, as opposed to the general email I was getting.

I also need to figure out how to be notified via email when a user submits a comment into the approval queue.

A quick visit to http://drupal.org/ provided me with two options: Notify module, or the Comment Mail module. Both are Drupal 5.x modules, so I guess I just have to be patient. I think Notify will work when it gets release in 6.x.