In vanilla gmail, clicking on a conversation alters the fragment ID in the URL, allowing you to link back to that conversation. (It opens in its own gmail interface.) I am using the preview pane, which is great, except that the URL no longer updates when viewing specific emails, so there appears to be no way to get the link to the currently-viewed conversation. (The 'open in new window' button doesn't help, since it pulls its contents in on the client side; it isn't a standalone link.)
The only solution I've found is to turn off the preview pane, find the message again in the list, open it, grab the link, go back to the message list, and turn preview pane back on. That's fairly onerous for something I do often though (to clip gmail conversations to Evernote, where my GTD setup lives).