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.