Actually, Mail.app's lack of conversation view was one of its definitive dealbreakers for me.

In particular, it doesn't include you or your sent mail in the conversation (http://i.imgur.com/Atkcu.png). It only lets you expand the email quotation to let you dig through nested context (http://i.imgur.com/1Zj2e.png).

Compare this to gmail (http://i.imgur.com/mLel3.png) that actually handles it as a conversation. It's one of the reasons I use Mailplane (thin wrapper around gmail) instead of Mail.app.

I too was frustrated by Mail.app's lack of a proper conversation view. Turns out, there's a setting to show messages you sent. In the "Viewing" section of Mail.app's preferences, enable "Include related messages". http://imgur.com/i5Eaq

This seemingly minor preference is what makes Mail.app useable.

Actually, Mail.app can include your own mail in a conversation, but only if you ask it to: select View->Show Related Messages.