There isn't a built in way to do this in OS X. However, using Growl, you can have notifications. Here's a sample script for that:
--Make sure Growl is running
tell application "System Events"
set isRunning to (count of (every process whose bundle identifier is "com.Growl.GrowlHelperApp")) > 0
end tell
if isRunning then
tell application id "com.Growl.GrowlHelperApp"
set the allNotificationsList to ¬
{"Test Notification", "Another Test Notification"}
--Notifications can be enabled in System Preferences>Growl>Applications>Display Options
set the enabledNotificationsList to ¬
{"Test Notification"}
register as application ¬
"Growl AppleScript Sample" all notifications allNotificationsList ¬
default notifications enabledNotificationsList ¬
-- Set the icon. You can use any icon from any application
icon of application "AppleScript Editor"
notify with name ¬
"Test Notification" title ¬
"Test Notification" description ¬
"This is a test AppleScript notification." application name "Growl AppleScript Sample"
notify with name ¬
"Another Test Notification" title ¬
"Another Test Notification :) " description ¬
"Alas — you won't see me until you enable me..." application name "Growl AppleScript Sample"
end tell
end if
That should display this:

And if you have the other notification enabled too:

More advanced techniques are described here.