I am a big fan of Mail in Lion—the left-to-right viewing format that they brought over from their iOS is exactly the way I like to organize and read by inbox. Overall, I like how email threads are managed as well, in that replies are collapsed automatically into a list based on the original email.
That said, there are some quirky things about it, one of which I found out the hard way. Word to the wise: be mindful when you delete an email in the thread because it just might delete the whole thread if you’re not careful. However, this next tip might help you view exactly which emails are in the thread a bit more easily.
When you have an email selected on the left side, hit the down arrow button and Mail will expand the thread to show the replies inline (instead of collapsing them with just the number icon that indicates how many other replies there are in the thread). You can then navigate up and down to find the one you want to view.