This paper reports all-atom computer simulations of five phospholipid membranes (DMPC, DPPC, DMPG, DMPS, and DMPSH) with focus on the thermal equilibrium fluctuations of volume, energy, area, thickness, and chain order. At constant temperature and pressure, volume and energy exhibit strong correlations of their slow fluctuations (defined by averaging over 0.5 ns). These quantities, on the other hand, do not correlate significantly with area, thickness, or chain order. The correlations are mainly reported for the fluid phase, but we also give some results for the ordered (gel) phase of two membranes, showing a similar picture. The cause of the observed strong correlations is identified by splitting volume and energy into contributions from tails, heads, and water, and showing that the slow volume-energy fluctuations derive from van der Waals interactions of the tail region; they are thus analogous to the similar strong correlations recently observed in computer simulations of the Lennard-Jones and other simple van der Waals type liquids (U. R. Pedersen et al., Phys. Rev. Lett. 2008, 100, 015701). The strong correlations reported here confirm one crucial assumption of a recent theory for nerve signal propagation proposed by Heimburg and Jackson (T. Heimburg and A. D. Jackson, Proc. Natl. Acad. Sci. 2005, 102, 9790-9795).