There is a nice new threaded SMS application on the market.
It's light on graphics but it is very fast. It's clear that the developers have gone to great lengths to make it intuitive to use by keeping it simple and by employing standard WM interface techniques (tap-and-hold; word completion; etc).
The web page is simply a series of screen caps showcasing the many options available in this application.
http://www.pocket-sms.com
The vendor (Empirical Solutions) is pricing the app at $7.50.