I got my Inbox back down under 40 (from about 90) and my mailing list folder to 0 (from 550). Feels good to be getting back in control of things. 
My current mail client of choice is actually Thunderbird on PC. I open e-mails in new windows, using the main window just as a display of folders and the list of messages. Thunderbird will open the next message in the list once the current one has been processed; good for slogging though lots of e-mail at once. I just wish I could QuickFile from the open message window.
I’m (sigh) once again back to Mail.app on the Mac and I hate the “drag and drop only to a folder list that jumps around unexpectedly and makes you drop it in the wrong place half the time” filing process.
If you are looking to file without going to the main window, try this extension. It is not perfect but it is pretty good.
http://www.paultomli[...]d/quickfile/
jr
Um… that would be exactly the QuickFile extension I’m talking about above. It does not invoke from a message window.
In Mail.app, I find it quicker to keep the folders closed and then to use the control-click “move to” command. The advantage of this is that if you later file something to the same folder it remembers your selection.
This used to work for me as well, but since 10.2 or 10.3 the contextual menu only shows the folders that are currently visible in the tray. This limitation makes the contextual menu virtually useless for me.
Quick File 0.16 is nearing beta stage and includes filing from an open message view. If you’d like to give it a shot then drop me a mail.
Paul