Forum threads have a page number you can click on to go to page 5 or 9, etc. But in PMs you could have 20-30 pages of messages and you can't jump to a page number. You can only click on "next" or "previous". It would be nice to see this fixed.
Until this is fixed I discovered that you can edit the URL to jump pages. You can take http://www.head-fi.org/messages.php?t=1&start=50 and change the 50 to 100 or to 300 or whatever you want, and you don't have to click "next" several times to jump by 50 messages at a time. (the PM page shows 50 messages per page)