[Edit: Issues, Bugs, and Requested Features should be tracked at Google Code, not here -- matt, 2010-04-23]
Less Wrong is still under construction. Please post any bugs or issues with Less Wrong to this thread. Try to keep each comment thread a clean discussion of each bug or issue.
Requested features... sure, go ahead, but bear in mind we may not be able to implement for a while.
Comments that are in reply to another comment have a parent link that you can click to get some context. A comment at the top level is assumed to be in the context of the post, which is shown. However you aren't the first one to suggest that the whole thread be shown as the default view for a comment permalink. It will be considered.
Better than showing the whole thread would be showing the whole post with all threads, but automatically jumping to the comment's location in the list of all threads.