Yeah, person A's Twitter replies to person B (tweets that begin with B's @username) are only visible in the Twitter stream of those followers of A who also follow B. I think this feature is fairly non-obvious, especially for new users.
To my knowledge, the easiest way to see also the "@ replies" (without following the other user) is to go to the user's profile (at the Twitter website: http://twitter.com/username, or through some Twitter client) and see their full tweet list there. However, then you'll of course see "@ replies" to everyone, not just to the individual you were interested in. To put it otherwise: no, there isn't an easier way. To see full "conversations" in your feed, you'll have to follow both (or all) parties taking part.
Edit: damn, I think I misunderstood the question. To see all tweets, from anyone, directed to a certain user, you can simply search for "@username". For example, try https://twitter.com/search?q=%40codinghorror to see all replies to Jeff Atwood.