My Outlook client (2011 for Mac, but I've used 2010 a little as well) handles threads. There are a couple different display options and they remain part of the thread as well. To be different, they call them "Conversations"
You can turn it on in the VIEW Menu/Ribbon
Windows Live Mail (the successor to Outlook Express) too. I don't find either to be as good as Gmail, though, so I don't use them myself.