I use the Twitter reply sniffer output in Netvibes as a module that sits on top of my Tweet stream. It pulls out directed messages for higher priority consumption.
A while back I asked a question through Twitter. Paul pointed out that what if there were people that were following me, saw my question, and replied; but I wasn't following them. Then I wouldn't see the reply. My solution at the time was to add everyone that was following me, which ended up making my incoming Twitter stream noisy. Then, I found a Twitter reply sniffer on Yahoo! Pipes and thought I found my solution. After looking at the source for how the sniffer worked, I realized that the pipe was only searching through the stream of people you were following, so while it was helpful for catching missed direct messages, it still required the replyee to be part of the list of folks I was following, which still left me with a noisy Twitter subscription feed.
Then, I found TerraMinds. They offer the most timely search engine for Twitter on the web. So, I put together a Pipe that notifies you of messages directed at you on Twitter, even if you are not following the sender. You can enter your Twitter username and subscribe to the output in a feed reader or a widget dashboard.
If you're not familiar with Yahoo! Pipes' interface, here's a quick image showing you where to enter your Twitter username and where you can subscribe to the output via SMS, email, and/or RSS. **IMPORTANT NOTE: Make sure you enter your Twitter username *AND* click the "Run Pipe" button *BEFORE* using the subscription options.