Another trick we are using all the time, is the following from an article on essential shortcuts over at macworld:
You can select any mailbox in Mail’s sidebar to see its contents, but many people don’t realize you can select multiple mailboxes at the same time to display the contents of all of them. […] I find this particularly useful in combination with message threading (View -> Organize by Thread). For example, I can select my Inbox and my Sent mailbox together and use threading to see the entire flow of a conversation between myself and another person.
