How can I copy an email address from a text message?

At least under iOS 5 you should be able to see a blue circle with a white arrow inside next to your text message; tapping on this will bring up a list of links (if there are more than one in your message), including the e-Mail address. Tapping on the e-Mail address will bring up the default "Info" page, from which you could create a new contact. More importantly, on that "Info" page you´re now able to tap-and-hold on the e-Mail address at the top, which will bring up the "Copy"-Bubble.

Revised for clarification. Use IOS's copy functionality to copy an email message. Press on the desired message (with email) and hold for a few seconds to bring up the Copy dialog. Click on the Copy dialog to copy the message (including email address). The entire message is copied. At that point, paste the message for further modification if desired (if it contains more than the email address).

Note: This worked for me in iOS 5.