I've experienced this previously, but only realized what was actually happening yesterday...
I have the Classifieds forum set up to Notify on new threads, but a few times I've received notification mails for threads that don't seem to exist - turns out it's actually threads that require approval. Once the thread is approved, a second notification email is sent, and the thread is visible.
Anyways it's not a big deal to me, but figured I'd report it to get it on the list.