You can drag an e-mail from Mail to Notes, and Notes will display a clickable link with the subject of the e-mail. Click that link to open the e-mail in Mail.
What's interesting is that you can then copy the link to the message by right-clicking and choosing Copy Link. When you paste the link into a text editor, it will look something like this:
message:%3C98A2D2F2-A910-4B63-B3G4-30D9CA021099@macworld.com%3E
If you paste the link into an application that can recognize it as a link, it will be clickable, and will open the e-mail. For example, TextEdit will display this as a link, if you're using an RTF document. I use BusyCal as my calendar application, and pasting an e-mail link in the Notes field results in a clickable link; however, Apple's Calendar doesn't recognize it as such. The Scrivener word processor recognizes it as a link, but Microsoft Word doesn't.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20120819230852911