scriptygoddessFeedback to users about what is happening on the site is always a good thing. Especially if it's to tell them why a comment they just submitted is not appearing on the site.
WordPress Hack: Notify Users of Moderation
Mark has a hack that will pop up a javascript alert to let users know when their comment is going into moderation. (This way they don't think the comment just got "lost" and submit it again)
[found via Blogging Pro]
