You only have a couple of options:
1. use an old iTunes backup if you have it - the problem is that if your backup is older, you will lose anything that was stored to the phone after the date of that backup.
2. Use 3rd party software - but not just any one. I went through this just recently. I searched and found a couple of apps that are highly advertised on the web, and they are pricey, but when you need it, you need it - I demo'd two of them and finally purchased one of them but it ended up falling way short of what I wanted to actually do. I wanted to recover a full text conversation with attachments and put it back on the phone itself. Most applications I found couldn't do that (although they imply they can in the product description), they would just extract the information and make a pdf of the text conversation showing thumbnails of the attachments, and then you would have to still recover the actual attachment files - none of this went back into the phone and into the message app. So better than nothing, but I was really surprised that something so simple to ask was so difficult to do. Most of these apps were purely data recovery for photos, contacts, SMS messages (in a readable HTML file), etc. but they didn't really put them back on the phone.
I almost gave up, but I finally found a 3rd party app called Backuptrans iPhone recovery. This was half the price of the other apps and worked perfectly. There may be other apps but this was the only one I could find. It was able to recover the full SMS conversation and automatically merged the parts I deleted with new messages that had been stored on the phone since I accidentally deleted the conversation. Worked perfectly, all the thumbnails and actual attachments were restored to the phone in the messaging application like I wanted. Apple should have something like this. The only thing I didn't like was that again there was a leap of faith that it would just work - the app scans the iTunes backup that you select on your computer and compares it to the current state of your iPhone messages. It then finds all the messages in the backup that are missing in the phone, and merges them with one click. You don't get to select what to restore, so if you purposely deleted something more recently than the date of your iTunes backup, then you'll need to delete it again. Small price to pay as it just works.
Make sure you don't overwrite your old backup in iTunes though before you do this. You need to shut off the automatic sync or you can "archive" the iTunes backup so it doesn't get overwritten. You have to go into iTunes Preferences, select the "Devices" icon, and you'll see the phone backups listed. Hold the "control" button while left clicking the mouse on the date of the backup you want to archive which will reveal the archive button. There is a bit of leap of faith when you hit the "archive" button because you get no indication that anything happened. When you backup your current iPhone state, you'll see that the backup you archived was created in the list, and the new backup is the most recent. I wish Apple would make these things a little more user friendly. This shouldn't have to be hidden like this.
I think this program can also search the deleted items in the iPhone memory and restore from there (if you don't have an iTunes backup), but I didn't try this. I tried this using those other apps and it was a bit dodgy because things were missing because the Phone starts to overwrite the deleted data. In a pinch it might be the best you can do.
I highly advise making an iTunes backup archive before messing with this. If you backed up your phone already since you deleted the messages, you may be out of luck, but you can still get at least a transcript of the messages using those other apps
Good luck
