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When I put my MacBook Pro to sleep by closing the lid, sometimes I hear the alert notification that plays when the mail program finds new messages in the inbox. This means that the mail program is still running even when in sleep mode.

What other programs continue to run when in sleep mode?

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Sounds to me like it's not actually in sleep mode.

What happens when the Mac goes to sleep (not just into idle mode or display sleep)?

On all Macs:

The microprocessor goes into a low-power mode

Video output is turned off, and a connected display may turn off as well, or enter its own >idle state

Apple-supplied hard disks spin down; third-party hard disks may spin down

On portable Macs:

The Ethernet port turns off, if applicable (see note below)

Expansion card slots turn off

The built-in modem, if present, turns off (see note below)

An AirPort card, if present, turns off (see note below)

The USB connection only responds to the power key on an external keyboard (see below)

The optical media drive spins down

Audio input and output turns off

Keyboard illumination, if a feature of your portable computer, turns off

About sleep mode

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The key phrase is "not just into idle mode or display sleep". Follow that about sleep modes link to read about the distinction between different modes and how to configure preferences. –  Doug Harris Oct 5 '10 at 11:26
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