Organize by Thread?

"If you organize messages by thread, related messages appear as a single entry in the mailbox. Message threads have a number next to the right arrow, showing the number of messages in the thread. A blue dot indicates that one or more messages in the thread are unread. The message displayed is the oldest unread message, or the most recent message if all the messages are read."

In other words, all the messages from one person will show as only one entry in your inbox with a number to indicate the number of messages from that person.

See page 74 of iPhone iOS4 User Guide for a picture.

This is to group together similar emails in a thread. For example, I email you, you email me back and then I email you again just by replying to the same emails. Instead of having the 3 emails one after another, you can have them grouped together in a thread which is easier to read and organise. It's a pretty cool feature actually 🙂