Haven't had this happen in a few months now (hopefully I didn't jinx it....). Anyway, use the method in the thread Darvond linked. I also recommend marking that thread as favorite so you don't have to dig for it every time that happens.
Gersen: Probably somebody answered to one of your post on a now deleted thread. The thread is flagged as deleted so you cannot read the post but the thread still exists in the forum DB you still have the notification.
I think it also happens when someone quotes you, then edits the post and removes the quote before you read it.