I have accounts on 4 Stack Exchange sites. It would be good to have some buttons inside/next to the global index to jump to their pages.
This pretty much already exists. In the global inbox drop-down, you can select the "all sites" option (second from the left) and it will list every site on the network. The ones you actually have an account on are bumped to the top and sorted by the amount of reputation you have on each of them (may be cached, as usual) and I'm not exactly sure how the rest of them are sorted.
It doesn't link you directly to your user profile on that site, but it's easy enough to just click your username at the top once you're there. If you're on your profile, you can also quickly navigate between your other accounts via the accounts summary block in the bottom left of your profile.
Another option is just to open the notification links in a new tab/window (which is what I do) so you can just close it once you've reviewed whatever the notification was for.
Your user profile page shows the sites where you have an account. See http://meta.stackoverflow.com/users/193632/satish-pandey.
You can click on one of those links, and you are taken to your user profile on that site.