Somebody asks question, I reply, they post comment on my reply. I don't get notification about their comment. Is that normal or is it bug?
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SO doesn't send email notifications for comments, period. You will have the notification icon (next to your name in the banner) light up if they comment on your question/answer or respond to a comment you made using your name in the "Twitter-style", @Rubycut.
As for E-Mail notification: That doesn't exist on SO (except for the negligeable daily thingie).
As for notifications not even turning up in the envelope: Sadly, that's by design. If it's not your question or answer the comment is made in, it will take a