I have it set for ALL Administrators to receive email alerts for All New Threads and All New Comments. Has worked well for me.
Looks as if Zynephix has also recommended the same.
I just wish Xenforo offered the option for members to choose how often they would like to receive email alerts as vB was able to do. One would choose to receive a summary of comments at End of Day, End of Week or As They Happen. From what I gather, Xen doesn't offer this out of the box and I cant find an Add-on.