This is particularly useful if you are trying to put the contents of several pieces of mail into a new piece. While you can't command-select and do this trick, you can select subject, copy then paste, and then repeat much faster than you could open each one and copy the contents.
[Editor's note: Neat trick, and I found a way to export the data as well. Although this odd Mail clipboard doesn't seem to paste into any application, it will, for some reason, paste into Stickies. So copy it from Mail, paste it into stickies, then select the pasted text and copy again. You now have the message on the real clipboard, and can paste it elsewhere with ease.]*censored*

