I don't remember being able to do that on the Moto Droid. Are you talking about the Gmail app or the EMail app? What I would recommend is clicking reply on the message. You should then be able to copy the message.
you can only copy text while the text is in the "Tap to compose" area.. so long press, foward, then long press on the message while its in the "tap to compose" and choose copy or you can just download Handcent from the market