Two places you go to change these volume levels and turn on/off various options are:
Settings >> Notifications
and
Settings >> General >> Sounds
As donka said, the mute switch can turn these all off quickly.
In iOS 4.3 and above, depending on how you have it set this is either the switch above the volume rocker, or it is found in the multi-task bar by double clicking the home button and swiping right.