Often times I'll send a PM to somebody, and It'll be a fire-and-forget situation...When I get the response, they had deleted my portion, and I completely forgot what I had said, as their response is quite blunt...
This is why I favor Hotmail's Reply system, in how you cannot delete the message being replied to, or Myspace's system where it allows you to review all of the messages you have sent in a seperate window.
Why doesn't myspace allow you to review your previous sent messages, not only to review what has been sent, but as a general log of discussion for the user...say there was information in the PM that they needed to go over a second time, but cannot because once the message is sent, it's sent, and the only way to read it again is if you are the user who receives it.