One of my colleagues is currently having problems with his new Exchange server. Messages delivered internally to the server have the correct timezone (+0100) in the Date: header, but messages that are delivered externally via SMTP have a Date: header timezone of +0000. All the Received: header timestamps have the correct +0100 timezone. We haven't worked out how to fix this yet.
In the course of debugging this problem, my colleague was discombobulated to find that different MUAs display the dates on messages differently. Mulberry, Alpine, and our webmail server display the date as set by the sender (+0000 in the case of the problem messages), whereas most other MUAs (Thunderbird, Mail.app, Outlook, Gmail, Hotmail) translate the date to the recipient's local timezone.
Given the choice between these two options, I prefer to see the sender's date, since it provides useful clues about long-distance correspondents (such as when it might not be reasonable to expect a prompt reply). However I can see why others would prefer to see times in a consistent timezone (e.g. it makes it easier to see how old messages are).
But really, as I argued last year, in this kind of situation (where the sender's and recipient's timezones differ) the MUA should display the date twice using both timezones. This makes it obvious what is going on (messages from local and long-distance correspondents are shown differently) and doesn't require users to do timezone conversions in their heads.