If you have not already found MSN Messenger Plus! then check it out. It adds alot of very cool features to MSN Messenger including the ability to automatically log the chats which comes in very handy since we use messenger all the time at work when talking about projects.
If you haven't already, I would highly second Robert's suggestion of checking out Trillian.
I started using it mostly because it let me use one application to connect to all of the major IM networks - but there's a ton of good features in there as well.
The logging is quite nice actually - when someone messages you, it shows the message history right there in the window. I always forget what I've talked about with who - so it definitely helps me not to repeat myself! And maybe this is available in other IM clients, but I find another nice feature is the ability to associate notes with a buddy. Again, I always forget who someone is, especially when it's some obscure handle they use.