I had an error on my site, to my surprise I did not get an email with the error.
I debugged my code and saw that the Application_Error fired.
It took a couple of hours of searching but I came across a post that mentioned if you have the precompiledApp.config file in your site folder the Application_Error handler in the Global.asax will not fire for unhandled exceptions!
I thought "no way, really?" So I deleted the precompiledApp.config file and yep now Application_Error fires and I get my alert emails.