Full Screen Mail.app with other windows in other Desktops - Lion
Solution 1:
As mentioned here you can use a trackpad gesture to move a little to the other space (just enough to make the black inter-space bar visible) and then use a keyboard shortcut to open the current e-mail (Cmd-O) or create a new one (Cmd-N). You will get a normal new window which can then be dragged to any space you want.
Solution 2:
When I need to open a message in other desktop I quit full screen mode, open the message(s) and then fullscreen again: just the main Mail window goes to fullscreen, leaving the messages windows open in the desktop where they were open.