You can independently control the volume level for any open applications on your Mac with SoundBunny (http://www.prosofteng.com/products/soundbunny.php) from Prosoft Engineering. It costs US$9.99 and requires Mac OS X 10.6.8 or higher.
“Finally a way to control the volume level independently for all open applications on your Mac,” says Greg Brewer, CEO of Prosoft Engineering. “Now you can listen to your music or movies loud without the interruption of whoosh’ from an incoming mail notification or ‘ping’ of a new instant message.
SoundBunny is easy to set up. It requires a simple restart upon installation, so that it can load core system processes appropriately. Once you’ve restarted simply drag the volume level sliders for each open application and you’re off and hopping.