When you copy or drag and drop emails into folders or to the desktop, you can view them with Quick Look, just as you are used to with PDFs or pictures. Just hit the Space Bar once you select the file and it will appear.

[robg adds: You can Quick Look your email directly in the Finder by navigating to your user's Library » Mail folder. There you'll find a number of folders that will vary based on your Mail setup. Check inside folders named POP-, IMAP-, and Mailboxes for sub-folders named Messages. Within those folders, you'll find a number of .emlx files; each one is an email message that you could then use Quick Look to view.]