Viewing email in a threaded view is something that’s largely overlooked, but does in fact make your email much easier to manage. It’s more or less been around since the first GUI-based email clients, is easily accessible and you can turn it off or on at whim.
Gmail uses a threaded view by default, and users of that system think it’s a godsend. Maybe for webmail it is, because I don’t know of any other webmail provider that has it. Email clients however have always had this view, and does so in a much better way visually.
Using the ancient Microsoft Outlook Express 6 as an example, this is how mail is normally viewed for most people:

If you view via threaded view, which is labeled as "by Conversation" in OE6:

…or Windows Live Mail:

…or Mozilla Thunderbird 2:

..you can view mail like this:

It doesn’t look like much, but when viewing mail as threads it’s much easier to keep track of what’s going on. If you send and receive a lot of mail, you’ll find this view style valuable; this is especially true when you have a lot of "Re:" subject lines happening. It’s very easy to lose track of what was replied to what when viewing mail as a flat list. In threaded view you can simply follow the thread from top (first) to bottom (last). You can also contract/expand threads to separate mail easily.
It’s probably true that you won’t be able to switch to this view style completely since most are used to viewing flat lists – but being that you can enable/disable it at whim, you can use it when you need to.
Issues you may encounter with threaded view
Some mail may get mistakenly placed in an unrelated thread
Threads are based on what the mail client "thinks" one is. That being the case, some of your email may get unintentionally grouped together when using the threaded view style.
Newsletters also may sometimes mistakenly be grouped into a thread.
Don’t worry, nothing will happen to any of your messages. But if you see it, you’ll know why it happened.
Old mail routinely gets threaded incorrectly
This only applies to power email users such as yours truly that have thousands of emails (I have over 13,000 – and that’s not counting spam). Over the years you use different email clients. I’ve bounced around several clients and webmail providers. All of them write different email headers.
It’s in those old headers where the mail client, regardless of which you use, will get "confused" as to which mails belong together in a particular thread, if any.
Again, nothing will happen to any of your messages. It’s just the client trying its best to figure out what mails belong where.
It does take getting used to
As said above, most people are completely used to viewing email as flat lists. Threads are better, but don’t expect to take to it like a fish to water.

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