In an email program (well, in Gmail at least), if you hit "reply" on a message you sent, the new message gets sent to the same person the original was addressed to.
PMs, I just discovered, don't work that way. I just sent a follow-up PM to myself instead of to the intended recipient, and didn't catch the mistake until a good 0h30 later. If it had been something important (e.g. if I had just said something to a moderator, realized it could be misinterpreted as saying something ban-worthy, and needed to clarify myself ASAP), it could have been disastrous.
I don't use PMs much here, so it probably won't be myself who gets saved by changing this, but...
Aside: general gripe: it's really hard to follow a back-and-forth PM discussion. How impossibly difficult would it be to do something about that?