Ok, I get asked this a lot lately. Seems everyone is going through a firewall somewhere and nowadays, even corporately, that could mean going through a local firewall on a workstation.
In an Outlook/Exchange infrastructure, Exchange actually informs the client that messages are coming through by way of UDP packets in the 1024-65535 range. Note, in Outlook 2003, you can now specify a port number (http://support.microsoft.com/default.aspx?scid=kb;en-us;264035). If for whatever reason, it can't reach the machine through that port, then the delivery is based on your Outlook client polling the Exchange Server (pulling) the message and that will occur on an interval (you can set this interval in your Outlook client). I messages are arriving in bunches all at once... they are on the pull cycle. Another way to confirm the issue is if you are expecting a new message, try clicking on a different folder in Outlook. By choosing another folder, this tells Outlook to do a quick pull from the server as well (this is why most people don't even notice this issue for months ;)...
You can override the 1024-65535 range if you have Outlook 2003. Read the Microsof Knowledge Base article #264035 for more details...
http://support.microsoft.com/default.aspx?scid=kb;en-us;264035
