I just came over from Blackberry and one feature that is miss is having a different noise/alert sound when I get email from work or a personal one. With the iPhone they all sound the same even the SMS. Maybe I havent played around enough with it yet but I cant seem to find where to change the audio alert from different emails.

I know this has probably been asked, I search but I couldnt find the answer.

You probably won't be able to do this by default. You will need to jailbreak it and there should be apps available to allow you to customize the sounds for your emails and SMS. For more help on this, I suggest heading over to the Hacks & Mods board.