Notification Ringtone
From the main screen, touch the menu tab
Touch Settings
Touch Sound & Display Settings
Touch Notification Ringtone
Select Sound, touch OK
For messages you would go to messaging application.
Go to the Messaging Application.
Then press Menu.
Then Settings,
Then Notifications
For more customization options there are applications like "Missed Called" you can download from the Android Market Place, as there are not many stock customization options for notifications.