I read Lars' wish on Debian Planet today. I such situations I normally use the command line tool "beep" (debian package "beep") to produce an audio notification when the job completes.
If you leave the room for a few minutes you could miss the notification, though, so I can see that a visual reminder would be helpful as well.
This resulting python script is here. I recommend installing "beep" and "python2.3-gtk2" to get full functionality.
It would be nice to put an icon or message in the notification area but it appears that there are no python bindings available for doing this at the moment. However, it appears that this will be available once Gnome 2.10 hits unstable, so I'll plan to add an option for this at that point.
In your .bashrc, I recommend making an alias with your favourite options, such as
$ alias notify='notify -p -b --'
so that you can simply do
$ notify make foo
Update: here's the help:
usage: notify [options] -- command [arg1] [arg2] ...
options:
-h, --help show this help message and exit
-p, --popup Pop up dialog when command exits
-b, --beep Beep PC Speaker when command exits