If you fully understand Google's threaded email conversations, you can't help but like them. Although there are rumors that Google will provide an opt-out of this trademark feature, threads are a requirement of the Gmail client today and something you need to understand as soon as possible.
Gmail is a highly optimized web application. It strives to make the most efficient use of the interface and does a remarkable job--especially considering the limitations of web programming today. Conversation threads allow Gmail to pack more messages onto one page and make sure important information is readily available to the user.
Let's think about how things were done before the Internet. Paper memos were generally unidirectional. Dick sends a memo to Jane but does not necessarily expect Jane to send a memo in direct reply. If there was a reply, organized people like Dick placed both the new memo and a copy of the original in a folder representing the exchange or project. (To be honest, I'm just guessing here--I really don't know how offices functioned without the Internet.)
Email is much more conversational. Most messages sent get a response, often more than one. Many messages are sent to multiple people and generate exponentially more messages. Those same organized people will file all related messages on the conversation into a dedicated folder.
Both of the examples above involve the basic idea of threading: related messages get grouped under a common theme. If you need to refresh your memory on the conversation, you look in the folder (paper or electronic) for earlier correspondence. The more organized you are, the easier it is to find what you are looking for.
All this manual work is so last century. No matter if you are an organized person or not, Google puts the technology to work for you. Conversation threading in Gmail keeps you organized. All messages you send or receive in the chain of replies or forwards are automatically grouped together on one line in Gmail. No need to file messages in a special folder just to remember what was said by whom (although you still can).
One key concept to remember is that a thread is only specific to you. For each conversation, each participant will have their own thread with only the subset of messages that they sent or received. You can keep some messages of the thread private (by limiting who you send them to) and others open to everyone in the conversation by replying to all. You control who is sent each message and what is included in each message. You can add new people to the conversation at any time. If you want to break the thread, all you have to do is change the subject line when you reply or forward (or start a new message, obviously).
It may seem that the options are too complicated or confusing, but once you get the hang of it, you'll wonder how you lived without it. No more responding to one message and then, because you hadn't caught up on your inbox, realizing someone else already answered the question before you did. No more hunting down the original message when someone picks up a conversation months later.