It depends on where you were when you exited the messaging or email app. If you were reading a message from someone and then hit the home key and dropped straight back to the home screen, then that's where you'll be when you go back in there. If you would like to essentially "close" the app so that it starts at the beginning next time, use the "back" button until it drops you out of the app.
I know that there are other 3rd party messaging apps. These may perform differently, but I've never used any of them so I wouldn't be able to really give any info about them. A lot of folks like one called "handcent". I think it was also available on iPhone, so you may already be familiar with it.
Anywhoo... Enjoy your Incredible, I switched to a droid from an iPhone and I have to say that for the most part I'm very glad I did. Hopefully you'll feel the same way. 
