Looks like this is new in 10.5 ... you can now link to any message in Mail from other applications. To test/use, view the message as either raw source (Command-Option-U), or with long headers (Shift-Command-H). Find the line that looks something like this:
You can link to this message from other applications with a URL of this form:
To test this, try pasting your link into Safari; it should jump to the message in Mail.
Mac OS X Hints