Incredibly, Mail.app as of OS X 10.8.5 still ignores certain styles applied to emails being composed when *sending* them - while composing, everything *appears* fine.
In other words: your carefully applied styles during message composition may get quietly discarded when your message is sent.
To see what actually got sent, check the Sent folder (which, obviously, is too late…).
This is clearly a bug and I will file a report with Apple.
It seems that only the application of *certain* styles cause Mail.app to retain *all* styles in the message being composed.
For instance: As long as the message contains at least 1 *bold or italic* character, all styles are retained. Also, changing the size of any characters causes all styles to be retained.
By contrast, having only any combination of underlined and strike-through text without any other styles present will cause neither style to be applied.
In other words: there are certain *trigger* styles that must be used in order to retain *any* - and thereby all - styles.
Workaround: Create a signature that contains at least 1 bold or italic character. Note that, unfortunately, Mail.app (as of OS X 10.8.5) does NOT accept a signature composed of spaces only (it either discards them quietly or quietly reverts to the previous content), so your signature must contain at least 1 non-space character; you can, however, apply boldface to a trailing space (in other words: the non-space character(s) need not be bolded themselves).