When multitasking in OS X, sometimes the programs you are using might output notification sounds or otherwise use the OS X audio system in ways that could interfere with your other tasks.
If you increase the volume to watch a movie while you have Mail open in the background, then when you receive a new message, Mail will output a loud New Mail sound. While you can disable Mail's notification sounds or quit the program, you might wish to keep it open and hear when the Mail arrives, but just not as loud.
Other similar scenarios might also benefit from playing volumes at different levels, such as when playing games, listening to music, or if you just wish to keep one application at a different volume level than another. While some programs such as media players have their own volume controls, others like iChat or Mail do not, and instead rely on the main system settings to adjust volume level.
To tackle this need, ProSoft Engineering (maker of Data Rescue and Drive Genius) has released a new utility called SoundBunny, which is a simple control panel that interfaces with the core audio system in OS X and allows you to adjust volume levels on a per-application basis.
The tool requires OS X 10.6.8 or later to work, and while it is a drag-and-drop installation, after launching it the first time, it will install a plug-in into your system folder that will require a restart to operate properly.
Do keep in mind that this is an initial release of the software, so while it might be useful for some people's needs, there might be some initial bugs. Luckily if you do run in to issues with the program you can easily uninstall it using the built-in option to do so that is available in the program's menus.