There are a couple of 3rd party SDK's which do this, Xtify is the one that always comes up.
They have a SDK which you bundle with you app that you can use via a web service to send 'intents' to your app. The SDK handles the background process and such.
It's free to use up to certain amount of notifications which I can't currently recall.
As for SMS which you mention in your follow up question, WAP PUSH/SMS/MMS all are going to cost you $$$ and have limited applications. PUSH does allow you to specify application handlers via the WAPHeader in my experience it's flaky due to different implementations.