A minor annoyance I've always had with Mac's Mail.app is that there is no way to force a message to be immediately deleted and bypass the "Trash" folder. Some applications (like Thunderbird) the combination of "shift + delete" enables this functionality but this doesn't work on the Mac and as far as I'd ever been able to tell just wasn't supported.
Fortunately a friend has just enlightened me (thanks Jed!) and the magic combination is "cmd + option + forward-delete". On a Mac laptop where there is no obvious forward-delete key, the combination is "fn + cmd + option + delete". Which is quite a fingerful, but is so helpful for quickly deleting large chunks of email.
Apparently this also works in many other iApps thought I haven't tested.