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This can occasionally happen when you are using an email account that appears to be non-user account or generated via phpmail or other non-email account service (keep in mind that the headers of an email note the name of the service/program that generated the email).
Is your email address something like support@, webmaster@ or admin@ yoursite.com? These will often get dumped into the bulk mail bin.
There are several solutions. One, of course, is to have your users use a REAL email address!
I, personally, would put a warning up on the site that tells people about the problem (trust me, most are ALREADY aware of the issue) and tell them to check their bulk mail folders.
Best of luck! Would love to hear if you end up working this one out!