One of the many changes in Lion's edition of Mail is the Gmail-inspired Conversations view. Conversations combines messages from a thread into a simple chronological view. But those conversations are incomplete: by default, messages that you sent are not included.
That can make the thread harder to parse. Though Dan Frakes mentioned that you could tweak the default behavior in his Lion Mail review, it's worth spelling out just how to do it. Hints reader nathanator11 did just that.
Open Mail's preferences (either via the menu bar, Mail -> Preferences, or the near-universal Command-, [comma] keyboard shortcut). Click the Viewing tab. In the View Conversations section, check the box for Include Related Messages. That's it!
While you're there, you can adjust some other Conversations settings, including a preference to put the newest message in a conversation at the bottom instead of the top.