Do your messages sometimes arrive only on your iPhone and sometimes on all your devices? Would you like to make this behavior consistent? The linked article explains exactly what’s happening behind the scenes and why this confusion arises.

TL;DR - set your iPhone’s Caller ID to your Apple ID email and most of the problems will go away. A reliable, hundred-percent fix can only be expected from Apple.

Update: iOS 6 and OS X 10.8.2 solve these problems for the user.