In Mail on OS X 10.7 Lion, you can hide your mailbox list by clicking the Show button in the new Favorites bar, or by going to View > Hide Mailbox List. But if you still want to easily drag-and-drop messages to file them, you can just drag one or more of them to the left of the window to temporarily reveal the message list.
You can even drag over collapsed folders and they will also expand to reveal subfolders. After dropping your emails in a folder or the Trash, the folder pane will hide itself again. This is a great trick for keeping your Mail window slim and less cluttered, yet still useful if you want to file messages and stay organized.
Thanks Bryan Mahler!