If you have more than one e-mail account set up on your iPhone, the unified inbox in Mail is a big improvement. The All Inboxes tab shows all of your e-mail messages in chronological order, though you can't see from which of your accounts each message belongs to. You can set up multiple Exchange accounts, as well.
E-mail threading is also supported (the number of messages in a conversation appears alongside the subject), and when you tap a thread, you see the list of e-mail messages within it. Additionally, anyone who receives attached documents will appreciate the new option in iOS 4 that allows you to open attachments in third-party applications.