Thanks for the thread, I had the exact same problem. A couple of unrelated emails would not delete. The title/date would go grey when you tried to delete them, but once you go out of that folder they would be there, back again but with no contents inthe email.
Just hit the 'Rebuild' in the Mailbox menu and they vanished, Rebuild is now greyed out and not an option.
I've put up with this nonsense for a long time now and gradually another event has occurred - my second hard drive is not now shown in Sys Prefs although it can be seen everywhere else. Can that be connected with this Mail problem? Quite a number of Mail entries that I deleted are remaining as headers as previusly mentioned and the Mailbox menu shows Rebuild as greyed out all the time - has done from when I first encountered this problem; and I now have about a dozen headers that I can't delete.
Can anyone solve t his for me?