Searching and selecting recipients for SMS on iPhone can be a bit tedious if you regularly text certain people. You can create a sort of SMS favourites list by pressing Clear when viewing a message from your favorite recipients. This button doesn't (as I assumed) delete the whole SMS (like deleting in the inbox does), but rather clears the only the conversation. The 'person' remains in your SMS inbox easily accessible.

Admittedly this is not much better than leaving the conversation but looks a lot neater and helps you see there is no outstanding action associated with a message. Perhaps of some use to neat freaks and productivity nuts.