Text Messaging: Group Text Message
In 4.2.1 (maybe in 4.2.0) there was an option added to the MMS application to support multiple recipients. 

While you may have been able to see them all the way that William stated, i've never seen that option. 

In 4.2.1 you click on the menu and select "Group Participants". This shows everyone that is included in the conversation. When you reply to a group now, it sends the messages to all participants, not just the person that sent you the message. 

I know this doesn't relate directly to your question as you are not asking about 4.2, but I do not know of a way that this can be done in anything pre-4.2. This feature was discussed a bit because it was the first time android supported this feature.

While you could always "start" a group conversation in any version of android, you could not "participate" in a group conversation with anyone other than the original sender.