Since the slave cannot initiate transfer, what do I do if the slave needs to tell the master something? Is there a way to do this without having the master do something like poll the slaves every 10 seconds?
Connect a seperate interrupt line. Master sees it, goes out does whatever with the slaves.
Using just the I2C-port you'll have to poll each slave.
If the slaves, when they need polling, are capable of sending a signal to a different arduino pin as well, you could check for that signal to know when it's time to check your slave.
Some nice functions are available for that in the form of interrupts. By configuring one in your setup, your arduino will periodically check for changes on the interrupt pin, while the rest of your program keeps running.
Once it detects a change, arduino will temporarily stop your program and jump to a preset routine.
If you use that to change a... variable and return back to the main loop, you could check the variable once in your loop and instruct the master to check its slaves when needed.
http://arduino.cc/en/Reference/AttachInterrupt
http://arduino.cc/en/Reference/DetachInterrupt
http://arduino.cc/en/Reference/Interrupts
http://arduino.cc/en/Reference/NoInterrupts