Gmail Desktop Gadget is a nice and free Windows gadget that will check your Gmail account automatically and let you know when you have new mail – even playing a sound optionally. This Gmail Gadget occupies very little space and it is well designed.
Note that this gadget is reported as unable to login to Gmail. Other users say it works! In any case, try also a similar gadget, GMailCounter, which seems to work for everyone.
A third Gmail gadget, Simple Google eMail, is not powerful, it won’t notify you for new mail, but only let you connect to your account and check by yourself.