Agreed, another vote for the same functionality for all the same reasons listed by others here.
EDIT APRIL 2011: Since my original posting, this has become a critical issue - it is easily the single largest problem we face in our processes for managing customer facing support issues. In the longer running issues that are coming up, we are now creating a parent case, subcasing all the "sub-threads" to that case and manually copy and pasting content from the sub-cases into the parent case to create a readable thread. This has all sorts of issues (timestamps are the edit/copy/paste timestamps, not the real timestamps, material gets missed and can get out of order if the edits are not performed in the right order, etc) but at least we can actually make some sense of what's going on for our customer and hence have a chance at dealing with it. The current behaviour has caused many customer miscommunications on our behalf, which in turn causes more issues - and more threads which we can't merge.
In short, this at least needs acknowledgement from FogCreek that it is an issue. I appreciate the complexities that finding a solution raise - we build software that has similar requirements and situations - but this is a fundamental use case, IMO.