Currently there is no option to set which sound output is chosen for different sounds as far as I can see. Thus the trash sound is played thru the internal speaker of my MacPro and the incoming mail notifications thru my headset. As I don't wear my headset all the time I tend to miss incoming mails. Very frustrating.
Alexis Odysseos commented
This has been annoying me for a long time until I stumbled upon the solution today. Under System Preferences > Sound there is a tab called "Sound Effects". You can change the setting that says "Play sound effects through:" and choose your headset or monitor as the selected output device.
Works like a charm!