I have to keep my phone on vibrate during the day, and while I can tell when someone is calling me due to the repeated vibration, I am constantly finding I have received text messages hours earlier, and not felt the vibration at all. I found my iPhone 4 to have much better feedback. It also kept vibrating the phone at intervals until I acknowledged the fact I had received the text. I don't believe Windows Phone does this.
I found the vibrator to be quite noisy, but not give off much vibration. I could hear it quite loudly vibrating in my pocket, but I couldn't feel a thing on my leg. This works fine in quiet environments, but obviously not with a moderate amount of ambient noise.
I'm not sure how big the vibrator weights are in most phones, but this one seems quite small. For those who haven't noticed, the vibrator is what is visible underneath the phone when the back cover is removed.
And I too wish WP had an SMS nag feature. I had my iPhone set to 10 reminders because I'd miss many a text either due to not noticing it in my pocket, or receiving it during a call but then forgetting about it after the call.