Gmail groups all replies with their original message, creating a single conversation or thread. In other email systems, responses appear as separate messages in your inbox, forcing you to wade through all your mail to follow the conversation. In Gmail, replies to emails (and replies to those replies) are displayed in one place, in order, making it easier to understand the context of a message -- or to follow the conversation.
When you open one message in a conversation, all of your related messages will be stacked neatly on top of each other. We call this Conversation View. In Conversation View, each new message is stacked on top of the ones that arrived before it, so that the newest message is always the one you see first.
To see all the messages in a conversation, just click the "Expand all" button.
A conversation will break off into a new thread if the subject line of the conversation is changed, or if the conversation reaches over 100 messages.
If you'd like, you can change this setting so that replies aren't threaded into conversations, but appear as individual messages in your inbox. To do so, go to the General tab of your Gmail Settings, and select the radio button next to 'Conversation view off'.