Alerts & Sounds

This is probably an easy one to answer but I've only recently got my Macbook Pro and I can't figure this out.
I want to set different sounds for different alerts. Eg. Mail, Calender Reminders, etc.
I've looked through the System Preferences inside and out but I can't find what I'm looking for. All I can find is how to change the one alert sound. Is there any way to set individual sounds for certain things at all? I've started to notice that an alert keeps going off every so often and I can't figure out what it is. =/

TRy looking at the preferences for the applications, IE Mail, ICal or whatever programs you want to alter