If you want to forward one message or a bunch of them all you have to do is go into your messages.
Go to the contact they are located in, select the "edit" button in the top right corner.
Tap on each message you want to select to forward.
Then hit "forward" that shows in the lower right.
It will bring up a new message. In the "To:" field just put in the email address of the person or persons you want to send it too. It worked for me.
Hope it helps.
Looked at the method above, and it does work (3GS on iOS 4.2.1)
To be absolutely clear...the above method (due to how Apple coded these actions) does have some drawbacks and is not very robust:
1) You have to tap on each individual message to select it, if you want to send multiple then you'd have to tap on each one. Apple seems to stay away from the "select all" functionality/mentality. If you want to send 100 message, then at least 100 taps are needed.
2) In the new message where you enter the email address of someone to send to...the messages are copied over...however it:
a) Copies multiple messages in an unformatted way
b) You cannot tell who's the sender or receiver of the message
c) Doesn't copy over the time/date stamps
I would say that if Apple enhanced these items then it would be considered "robust".
I know Apple tends to keep things "simple", but sometimes the functionality is lacking some polish and we're always left wanting more...