Read receipts are quite useless bits of internet cruft. Most (all?) e-mail clients that support read receipts - and many don't - default to it being off. Read receipts have been frequently abused by spammers to verify addresses, and there are privacy issues that bother a lot of people as well. So, you should really ask yourself why you want this capability. What does it tell you if you don't get a read receipt? Absolutely nothing.
However, if you want Mail to attach a read receipt request to every message it sends, see:
There is no way to make Mail respond to a read receipt request.
I think, sometimes Apple should be a little less educative. Their bossy attitude "If we don't put it in, then you don't need it...“ has proven them wrong a few times. Remember "copy/paste" on the first iOS ?
Rather then adding a lot of fancy stuff like "dialogues" in Mail, it can't be that complicated to add a little box somewhere next to signature to request a read-receipt. I just upgraded to Lion and I'm amazed that this feature (because it is a feature, never mind if receivers are confirming or not) is again missing.
Its often good to know that your mail has reached destination, especially if you attach important documents to it - in which case the receiver will accept to confirm.
Just for this feature, I'm once again obliged to keep Thunderbird next to Mail.