textr,
Vito SMS chat,
PocketCM,
Pocket SMS, Cody Threaded SMS/Palm SMS(we cannot post it or link to it, but its out there), Windows Mobile 6.1 has it built into the SMS. There are many other Threaded SMS applications out there, but since I use WM6.1 I don't know them all. Do a search for
Threaded SMS and you should find quite a few options.