I've tried SMS chat and the threaded sms in PocketCM and ended up using the stock messaging. SMS chat was nice, but being on a titan with limited ram it was just too much for me. I'm assuming you have the diamond (this is the diamond forum after all) and have the memory to use such an app. PocketCM wasn't to my liking at all though its been a while since I used it and it may have updated. Resco is also coming out with a contacts manager that is supposed to include threaded text messaging.
SMS chat
http://www.iwindowsmobile.com/thread...messaging.html
PocketCM
http://www.freewarepocketpc.net/ppc-...tcm-v0-21.html
Resco Contacts Manager
http://resco.net/pocketpc/contactmanager/default.asp