The best way to follow a conversation is to see it all in one place.
A twitter conversation is split over several time lines, messages are mixed with other conversations. This makes it hard to follow a conversation especially when you follow a lot of people.
With threading you would be able to see all messages in a conversation in a way that's easy to follow. It's also harder to be misunderstood this way.
Instead of replying to someone reply to their message. Thus twitter would be able to show threaded conversations. Of course twitter clients will need to be modified to support this new reply method.Actually both methods should be available.
There are a lot of people saying twitter is very good just as it is now and are against any new features. Others believe twitter groups are really needed.
For me threaded conversations would be the best feature I would like to see in twitter.
I'd like to see your opinion on this. Would you like threads? Let me know in the comments.