It’s common in the blogosphere for bloggers to comment on the posts of other bloggers. Sometimes blogs show trackbacks to let you see those comments with a posting. (I turned this off due to trackback spam.) In some cases we effectively get a thread, as might appear in a message board/email/USENET, but the individual components of the thread are all on the individual blogs.
So now we need an RSS aggregator to rebuild these posts into a thread one can see and navigate. It’s a little more complex than threading in USENET, because messages can have more than one parent (ie. link to more than one post) and may not link directly at all. In addition, timestamps only give partial clues as to position in a thread since many people read from aggregators and may not have read a message that was posted an hour ago in their “thread.”
At a minimum, existing aggregators (like bloglines) could spot sub-threads existing entirely among your subscribed feeds, and present those postings to you. You could also define feeds which are unsubscribed but which you wish to see or be informed of postings from in the event of a thread. (Or you might have a block-list of feeds you don’t want to see contributions from.) They could just have a little link saying, “There’s a thread including posts from other blogs on this message” which you could expand, and that would mark those items as read when you came to the other blog.
Blog search tools, like Technoratti could also spot these threads, and present a typical thread interface for perusing them. Both readers and bloggers would be interested in knowing how deep the threads go.