The new version of Mail in Lion has a nice Conversation View, which shows messages in thread form (like Gmail). I like this view, but the main problem that I had with it was that, to see messages that you've sent in that conversation, you have to move to Sent Mail.
Luckily, Mail lets us show messages we've sent as well. Here's how to enable that:
Go to Mail » Preferences » Viewing. Under View Conversations, check the Include related messages box. Conversation view is now complete.
[crarko adds: I tested this, and it works as described.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20110712105857790