Found this out by accident recently and have been loving it since. If you are running Windows Mobile 6, here is a tip for you.
In the list view for SMS, enter a character and WM6 will automatically search and filter into view for any message with that character in the contact name AND message body! Continue to type in more characters and they will be added to the search query (exact pattern case-insensitive search only. i.e. *xxx*). What's more, it will even highlight the queried text in the filtered view! To get back to normal view, just hit the delete character.
I believe it works for email and MMS as well but I've not personally tested that since I don't have messages in those categories. Perhaps someone out there who have tested this may want to share with the rest.