bBlog is the first blog system to enable trackback replies to comments, and comment replies to trackbacks, so this is uncharted waters but it's pretty simple. Basically, there is a trackback url for every post, and every comment. If a trackback is received for a comment it is handled like a reply to that comment in the database so displays threaded. Additionally, you can click reply to a trackback and post a reply to it - on your turf, not theirs.
Here is an example -- which is somewhat intricated now that I have pinged both the article and one of the comments, but you see the idea.
More ideas for enhancing weblogs conversations: Self-TB to automatically notify follow ups to past posts. Threaded comments, with notifications. Feel free to comment and TB at will to add more examples and ideas.
From a user perspective, all these should be integrated and displayed as conversations (which the padawan and his terrible lack of design skills is preaching but not doing at the moment on this weblog). The differences between in-site comments and off-site TBs matter more to the webloggers -- the "your turf, not theirs" thing -- than to their readers but there is absolutely nothing wrong with that. Hyperlinks are the mamelles of the Web, weblogs favor the creative types, conversations help weaving good content together and make your journey in discovering new thoughts, things, places and people way more enjoyable than using Google.
And this is just the beginning.