Yeah you just need to go into the opitions of each application, ie if you want a virbrate when a txt comes in - go messaging, click menu, click settings, scroll down to Notification settings and selete vibrate. same goes for other applications - click IM, make sure your not in a conversation, click menu, click more, click settings, selete vibrate.
A great application from the market is "Rings Extended" that lets you select any peace of music on your G1 and assign it to any notification or ring tone, i use this application on all my notifications, i also use "Ringdroid" to cut down a peace of music to make it into a notification, other wise your G1 could be playing a 4min music track when your txt comes in and when your in a busy shop and your trying to unlock your screen to stop your G1 playing Purple rain full 17 min live version, it can get hard!
Hope this helps
Alan UK