Current choices for moderators only provide for deleting the whole thread, or a single message.
A useful feature would enable moderators, when deleting a message, to be given the option of deleting all the replies as well (and replies to replies, the whole sub-thread).
This feature would also act as an alternate thread deletion utility: When deleting a thread parent, choosing the "delete all replies" option would effectively allow the moderator to delete the entire thread. This would come in very handy (going all the way out to the adminstrative scripts, and finding the thread again can bit quite a pain).