Having helped a couple of friends with minor configuration confusion now I guess it's worth posting some information on iMessage set-up. It's not as simple as I feel it should be, but it is an improvement over how FaceTime worked previously (this all applies as much to FaceTime as iMessage; both operate almost identically in iOS 5).
Most of those using iMessage are doing so with their iPhone. It works between phone numbers, which naturally are registered with your iTunes account as a matter of course. The important thing to remember here is that a phone number applies only to your phone, and does not apply in a wider account sense. Therefore iMessages sent with your phone number as the Caller ID or sent directly to your phone number will only appear on your iPhone. For those with a single iOS device this is pretty much fine.
The complication comes when you have multiple iOS devices; at which point receiving the message on only one device kinda misses the point. You need to configure iMessage to use a consistent e-mail address. The default would be your iTunes account address, but it can be literally any e-mail address you use (or indeed all the e-mail addresses you use). In settings | messages this can be configured by the 'Receive At' option. Add as many e-mails as you like, but do remember to be consistent across devices.
More important still is the iMessage 'Caller ID'. This determines how a friend replies to you when you send a message much like Caller ID notifies you who's number is calling. Your ID needs to be the same e-mail address across all devices to ensure consistent receipt and conversation tracking across devices. Mismatched pairs of sender/receiver ID result in split conversation threads. Set this to an e-mail you're happy to distribute and make sure that you suggest to people with iPhones that they message you by that address rather than your number.
You can also remove e-mails with a tap, which is much easier than changing your phone number, and gives you a method for easily disabling that iMessage channel.