I haven't seen this rather simple hint in my site search, but I found this really useful, so here it is...
When replying to a message in Mail (when viewing the message in its own window), the message window will close after hitting "Reply" or "Reply to All." But sometimes I need to leave the mail message open when replying (when it contains vital information I need to see for the reply), and it's a hassle to have the message close when replying and then have to open it again.
Knowing that there must be a way to do this, I pressed the Option key and clicked on the "Reply" button. Voila! The original message remains open! This also works for the Reply All button.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20050907123155931