I first ran into threaded SMS on my Palm Treo 650 and have to say that this feature set the standard for text messaging on mobile devices. For those of you who aren't familiar with threaded SMS, what happens is that text messages to and from particular contacts appear together on a single page like you were instant messaging with that person. The Apple iPhone also includes threaded text messaging and uses colors to differentiate who sent the SMS. Windows Mobile still hasn't caught on that this is a desired feature, but there are some hacks and 3rd party applications that can be installed. I just read on All About Symbian that Nokia's Beta Labs have introduced Conversation for S60 devices.
Conversation is a good start and still needs some work to compete with the Palm and Apple solutions, but since it is in early beta stage that means there is still time for you to try it out and provide feedback on Tommi's S60 applications blog. Hopefully, we will see this integrated into future S60 devices and I encourage you to try it and help improve it.