Is it possible to merge inbox and sent folders in Mail?
The layout is a bit different than in Thunderbird, but you can get threaded conversations by checking "Include related messages" in the Preferences panel:


The result will be something like this:



By choosing to "Use classic layout" you can get drop-downs for a thread, but it will only show messages from others, not from yourself. Your replies are shown in the preview pane on the bottom, though.



Edit: I just noticed this myself, but you can also click on the double arrows in the not-Classic view to show individual messages from others.