Conversation view in Mail.app is nice, but it really only threads the messages in your inbox (or current folder). Gmail's threads are a bit nicer since it'll grab all the related messages even if they've already been archived.
That's part of the real power of gmail's mail handling methods. Like POP (and the concept of "delete or keep on server"), a message can "logically" only exist in one place at a time. IMAP can move/copy messages, but if the same message exists in multiple places, they appear as two distinct messages. In gmail, the message only appears in one place, the single, massive mail store. How things are tagged, er I mean labeled, determine your view on them. Since labels don't move or copy things, they are available to be pulled into different views without breaking a concept of different storage locations. The fact that IMAP works reasonably well on top of gmail's labeling is impressive.
