Ok, I had it wrong.
No big deal but of course I investigated this issue a little more. I'm using SQL 2008 Build 1600, so no SP1.
Obviously what's in BOL is not always correct so I didn't even bother to check.
First I had a look at the options when creating an alert. There you can create alerts for severities 1 to 25. Hmmm???
The I did a query on sys.messages and yes, sys.messages only contains messages with severity 0 and 10 - 24.
So the answer given seems to be correct.
But then I created a new message
EXEC sp_addmessage 50001,25,N'Test Message'
And yes it worked.
So I would say the correct answer is 0 - 25, unless this has been changed in SP1.
Which btw still means my answer was wrong.